What's new


  1. Nicole Seaman

    P2.T6.916. Bilateral credit value adjustment (BCVA) and the debt value adjustment (DVA) (Gregory Ch.14)

    Learning objective: Define and calculate incremental CVA and marginal CVA and explain how to convert CVA into a running spread. Explain the impact of incorporating collateralization into the CVA calculation. Describe debt value adjustment (DVA) and bilateral CVA (BCVA). Calculate BCVA and BCVA...