Hi,
I don't see many CVA questions in GARP's practice exams. I was wondering what would be a typical question that would come up in the exam? Can someone give me an example please? (Would problems in the BT mock exams relevant?)
Also, in the book the CVA formula = spread * EPE; however I see CVA = EE * spread. Which one is correct?
There is also a formula where CVA = (1-Rec) * sum( Discount Factor(t) * EE(t) * PD(t)); Would we need to apply this formula in the exam?
I think in terms of credit risk concepts, this topic is a bit weak for me.
I hope someone can help!
Thanks,
I don't see many CVA questions in GARP's practice exams. I was wondering what would be a typical question that would come up in the exam? Can someone give me an example please? (Would problems in the BT mock exams relevant?)
Also, in the book the CVA formula = spread * EPE; however I see CVA = EE * spread. Which one is correct?
There is also a formula where CVA = (1-Rec) * sum( Discount Factor(t) * EE(t) * PD(t)); Would we need to apply this formula in the exam?
I think in terms of credit risk concepts, this topic is a bit weak for me.
I hope someone can help!
Thanks,