bcva-formula
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P2.T6.24.34 Credit Value Adjustment and Debt Value Adjustment
Learning Objectives: Explain the impact of incorporating collateralization into the CVA calculation, including the impact of margin period of risk, thresholds, and initial margins. Calculate DVA, BCVA, and BCVA as a spread. Explain the distinctions between unilateral CVA (UCVA) and BCVA, and...- Nicole Seaman
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- bcva-formula bcva-spread credit-value-adjustment cva debt-value-adjustment dva initial-margin margin-period thresholds unilateral-bcva unilateral-cva unilateral-dva
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- Forum: FRM® Practice Questions
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BCVA Formula
Hi David, May I request you to please clarify if survival probability is a requirement while we compute BCVA (CVA + DVA). In you previous edition of study notes ( May 2021) this was not included however as I noticed that study notes have been updated . GARP book as well as Gregory's 3rd...- VishIyer01
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- bcva-formula
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- Forum: P2.T6. Credit Risk (25%)