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bilateral-credit-value-adjustment-spread

  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...
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