What's new

credit-value-adjustment

  1. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...
  2. Nicole Seaman

    P2.T6.713. Exposure profiles and credit value adjustment (CCR CVA)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  3. Nicole Seaman

    P2.T6.708. Stress testing the credit value adjustment (CVA)

    Learning objectives: Describe a stress test that can be performed on CVA. Calculate the stressed CVA and the stress loss on CVA. Calculate the debt value adjustment (DVA) and explain how stressing DVA enters into aggregating stress tests of CCR. Describe the common pitfalls in stress testing...
  4. M

    Gregory: CVA

    A question about CVA: Why is it that CVA is lower for upward-sloping credit spread curves and higher for downward-sloping credit spread curves? Intuitively, as the CDS spreads increase, credit quality of the counter party worsens and so we should charge more to compensate for this increased...
Top