Before revision:  An investor trades a credit default swap portfolio with a defaultable counterparty, but has incomplete information about her credit quality. By constraining the actual default intensity of the counterparty within an uncertainty interval , we derive both upper and lower bounds for the XVA process .
After revision:  An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by taking a position in the counterparty bond. The investor does not know the expected rate of return of the counterparty bond, but he is confident that it lies within an uncertainty interval , we derive both upper and lower bounds for the XVA process .