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 Objectives: Assess the credit risks of derivatives. Define credit valuation adjustment (CVA) and debt valuation adjustment (DVA). Calculate the probability of default using credit spreads. Describe, compare, and contrast various credit risk mitigants and their role in credit analysis...
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...
Hi,
Gregory ( chapter 12) says that CVA first increases with increase in credit spread but then dips..( table 12.1).please can you explain why does a CVA dips beyond a point? it should be a monotonically increasing function and then flatten out beyond a point. Why the decrease?
Gregory ( in...
Learning outcomes: Explain why the OIS rate is a good proxy for the risk-free rate. Describe how to construct the OIS zero curve, and using it, determine forward LIBOR rates.
Questions:
507.1. A company with an average funding cost of 4.0% is currently undertaking projects worth $80.0 million...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.