Hi @David Harper CFA FRM
I have a question. In determining the CVar in Malz chapter 8, a binomial inverses function is used to derive the no of defaults table 8.1. For the exam are we required to calculate these as well. If so please can u provide some insights on how to go about this? Sorry...
I have 2 questions.
What does the marginal CVA represent? I get the incremental is dependent on the EE of the next trade (please correct me if I am wrong). However I don’t get the marginal or how to derive the marginal cva. Please can you explain
Second question relates to table...
Just to clarify; it is mentioned that dw is scaled by sqrt of time. So in a scenario where dw is given we do not need to multiply vol by sqrt of t? So if we need to find the normal rand variable we will need to multiply this by sqrt of time and keep the annual vol the same?