Credit valuation adjustment is the price adjustment
of financial contract considering possible default of counterparty and it
is an important way to measure counterparty risk. It is the key to establish
a reasonable default dependence structure model. We introduce an economic
state variable and shot noise processes in a Markov copula model and establish
a regime switching Markov copula model with shot noise, where we can not
only describe the impact of common economic conditions characteristics but
also describe the credit name's characteristic. In this proposed model, we
study martingale property of the model and the collateralized CVA of credit
default swaps, and furthermore, we perfer some numerical calculations on
the collateralized CVA and examine the impact of some model parameters on
the CVA.