交易对手信用风险在2008年的金融危机中扮演了重要的角色，建立信用估值调整模型对交易对手信用风险进行估算和定价，成为后金融危机时代信用风险领域研究的热点。而信用阈值安排是目前业界管理和减少交易对手信用风险的流行方式，但相关的理论研究还处于起步阶段。基于此，本项目建立估算具有信用阈值安排的衍生品合约交易对手信用风险的信用估值调整模型，将模型分为具有强制信用阈值安排、具有可选信用阈值安排以及具有信用阈值和担保安排三类分别展开研究，计算信用估值调整的表达式，分析加入信用阈值安排对信用估值调整的影响。最后，将三类模型应用到信用违约互换合约的定价中，利用Copula函数刻画违约的相关性，研究估算具有信用阈值安排的信用违约互换合约交易对手信用风险的信用估值调整的显式表达式，并揭示违约相关性对信用估值调整的影响。本项目旨在丰富信用估值调整的研究内容，为金融业对具有阈值安排的衍生品合约的定价提供理论基础。

Counterparty credit risk has proven to be one of the major drivers of the 2008 financial crisis. The price for counterparty credit risk is called credit valuation adjustment which has now become a very hot topic in credit risk management research. Initiated by the motivation of mitigating counterparty credit risk, many institutions have engaged in credit trigger agreements to monitor their counterparty’s creditworthiness. Despite its significance in credit risk management, there have only been very few papers on the valuation of the credit valuation adjustment with credit trigger, probably attributable to its fairly short history. This project generalizes the valuation framework for credit valuation adjustment when credit triggers are allowed in the contract. General formulas are derived for all three cases: credit valuation adjustment with mandatory credit trigger, credit valuation adjustment with optional credit trigger and credit valuation adjustment under collateralization and credit trigger. The impact of the credit trigger on the credit valuation adjustment is analysed. We then specialize our analysis to credit default swap as underlying portfolios, and describe the default dependence by copula. The explicit formula of credit valuation adjustment with credit trigger on credit default swap is obtained. The impact of the default dependence on the credit valuation adjustment is also illustrated. This research in this project aims at enriching the content of credit valuation adjustment, as well as providing theory foundation on the price for counterparty credit risk when credit triggers are allowed in the contract.