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Credit VaR
Hi @David Harper CFA FRM I have a question. In determining the CVar in Malz chapter 8, a binomial inverses function is used to derive the no of defaults table 8.1. For the exam are we required to calculate these as well. If so please can u provide some insights on how to go about this? Sorry...- ijooma
- Post #18
- Forum: P2.T6. Credit Risk (25%)
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Marginal CVA vs Incremental
Hi David I have 2 questions. What does the marginal CVA represent? I get the incremental is dependent on the EE of the next trade (please correct me if I am wrong). However I don’t get the marginal or how to derive the marginal cva. Please can you explain Second question relates to table...- ijooma
- Post #8
- Forum: P2.T6. Credit Risk (25%)