Since the financial crisis in 2008, the concept of credit risk in derivatives has changed, creating new value adjustments in its valuation (xVA). These include the Credit Value Adjustment (CVA) and the Debit Value Adjustment (DVA) that this work calculates for an IBR interest rate swap. The simulation of scenarios for the forward rates of the IBR swap curve was performed, through the implementation of a deterministic version of the one-factor Hull-White short-rate model. Likewise, this paper calculates the Probability of Default in pesos for each counterparty from the Asset-Swap Spread (ASW) of the bond market.
