---
title: Simulating Spread Dynamics for VaR & CVA
url: https://www.ml-quant.com/papers/ssrn/4628754/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4628754
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4628754
featured: 2023-11-15
citations: unknown
topic: Risk, Credit & Banking
---


# Simulating Spread Dynamics for VaR & CVA

A new model using a Gaussian one factor copula is suggested for simulating spread risk in banks' risk models, ensuring consistency between simulated and actual historical spreads.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4628754
- Identifier: SSRN 4628754
- Released: 2021-07-08
- First featured: Quant Letter No. 26 (2023-11-15): https://www.ml-quant.com/issues/2023-11-15/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking

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