Hi @David Harper CFA FRM regarding 714.2 i am confused with GARP 2018
Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mapping technique for the given...
As per Gregory chapter 14 he has introduced a negative sign in CVA formula, so am a little confused as to what should be the impact of credit spread and recovery on CVA. Whether we have to consider the magnitude or sign also