This paper investigates calculations of robust CVA for OTC derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure. Wrong way counterparty credit risk can be characterized (and indeed quantified) via the robust CVA formulation. The simpler dual formulation of the robust CVA optimization is derived. Next, some computational experiments are conducted to measure the additional CVA charge due to distributional uncertainty under a variety of portfolio and market configurations. Finally some suggestions for future work, such as robust FVA, are discussed.
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