Data: https://finpricing.com/lib/IrCurveIntroduction.htmlAbstractAfter the credit crisis, credit valuation adjustment (CVA) has become a significant contributor to the daily P&L of trading books. As a result, it is crucial for banks to closely monitor the risk associated with CVA and set risk limit in place for a robust oversight and risk management framework. This paper presents a new approach for accurately calculating credit value adjustment (CVA). The model can achieve a high order of accuracy with a relatively easy implementation. Moreover, the model can naturally capture wrong or right way risk.