I have a fairly basic question but it's been bugging me. I have found that some people use a different formula to compute credit spread, namely:
1-(1+risk free yield)/(1+risky yield)
The difference in result with formula of -1/T*ln(D/F)-Rf is often not massive but it has already led...
Learning objectives: Evaluate the impact of changes in the credit spread and recovery rate assumptions on CVA. Explain how netting can be incorporated into the CVA calculation.
915.1. Strongcore Financial Corporation has purchased a long-term at-the-money (ATM) call option from a...
Gregory ( chapter 12) says that CVA first increases with increase in credit spread but then dips..( table 12.1).please can you explain why does a CVA dips beyond a point? it should be a monotonically increasing function and then flatten out beyond a point. Why the decrease?
Gregory ( in...