Counterparty risk is one of the fundamental forms of risks underlying financial transactions. Thus, assessment and mitigation of this risk is of primary importance to financial institutions. In this talk we shall look at counterparty risk as the risk associated with certain complex financial derivative, known as CCDS (contingent CDS). We first discuss the issue of valuation of CCDS, where the corresponding price process is called the CVA (credit valuation adjustment). We shall then discuss the issue of hedging of the CCDS. We will specify our general results to the case of so called Markovian copula model. In this context, specific formulae for self-financing hedging strategies will be given, when hedging portfolio is created from so called rolling CDS contracts, and perhaps some other contracts as well. This is a joint work with Monique Jeanblanc and Stephane Crepey.