Abstract
In this work we find out values at risk (VaRs) of credit default swap (CDS), interest rate swap (IRS) and stock option, including counterparty credit risk (CCR). In order to emphasize the effect of CCR, we assume that short rate and intensity are both Vasicek model. We calibration out the parameter of Vasicek model by market data. Then, we derive VaRs of CDS, IRS and option by Monte Carlo simulation.