  The credit crisis and the ongoing European sovereign debt crisis have
highlighted the native form of credit risk, namely the counterparty risk. The
related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA),
Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly
referred to in this paper as Total Valuation Adjustment (TVA), have been
thoroughly investigated in the theoretical papers [Cr12a] and [Cr12b]. The
present work provides an executive summary and numerical companion to these
papers, through which the TVA pricing problem can be reduced to Markovian
pre-default TVA BSDEs. The first step consists in the counterparty clean
valuation of a portfolio of contracts, which is the valuation in a hypothetical
situation where the two parties would be risk-free and funded at a risk-free
rate. In the second step, the TVA is obtained as the value of an option on the
counterparty clean value process called Contingent Credit Default Swap (CCDS).
Numerical results are presented for interest rate swaps in the Vasicek, as well
as in the inverse Gaussian Hull-White short rate model, also allowing one to
assess the related model risk issue.
