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  1. C

    Credit spread formula(s)

    Hi David, 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...
  2. Nicole Seaman

    P2.T6.915. The incorporation of netting into the credit value adjustment (CVA) calculation (Gregory Ch.14)

    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. Questions: 915.1. Strongcore Financial Corporation has purchased a long-term at-the-money (ATM) call option from a...
  3. K

    CVA increase/decrease with Credit spread

    Hi, 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...