1. Nicole Seaman

    P2.T6.915. The incorporation of netting into the credit value adjustment (CVA) calculation (Gregory Ch.14)

    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...
  2. L


    Hi, How could you calculate LR(Loss Rate) from Unexpected Loss formula? UL= EA X ((PD X stand^2 LR) + (LR^2 x stand^2 PD))^1/2 Many thanks, Javier
  3. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    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...