credit-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...

Learning objective: Define and calculate incremental CVA and marginal CVA and explain how to convert CVA into a running spread. Explain the impact of incorporating collateralization into the CVA calculation. Describe debt value adjustment (DVA) and bilateral CVA (BCVA). Calculate BCVA and BCVA...

Learning objectives: Evaluate the impact of changes in the credit spread and recovery rate assumptions on CVA. Explain how netting can be incorporated into the CVA calculation. Questions: 915.1. Strongcore Financial Corporation has purchased a long-term at-the-money (ATM) call option from a...

Learning objectives: Explain the motivation for and the challenges of pricing counterparty risk. Describe credit value adjustment (CVA). Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization. Questions: 914.1. Your colleague has drafted guidance for your firm's...

Learning objectives: Identify counterparty risk intermediaries including central counterparties (CCPs), derivative product companies (DPCs), special purpose vehicles (SPVs) and monoline insurance companies (monolines) and describe their roles. Describe the risk management process of a CCP and...

Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Learning objectives: Describe a stress test that can be performed on CVA. Calculate the stressed CVA and the stress loss on CVA. Calculate the debt value adjustment (DVA) and explain how stressing DVA enters into aggregating stress tests of CCR. Describe the common pitfalls in stress testing...

A question about CVA: Why is it that CVA is lower for upward-sloping credit spread curves and higher for downward-sloping credit spread curves? Intuitively, as the CDS spreads increase, credit quality of the counter party worsens and so we should charge more to compensate for this increased...

Hi David, I am unable to understand Credit Value Adjustment concept ...can you please explain it in different or elaborate on your screencast. Can you add on Irat_swap_mcs Spreadsheet and show ECE and PCE profiles mathematic.? What is the difference between Msster netting agreement and...