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  1. Nicole Seaman

    P2.T6.914. Pricing counterparty risk with the credit value adjustment (CVA) (Gregory Ch.14)

    Learning objectives: Explain the motivation for and the challenges of pricing counterparty risk. Describe credit value adjustment (CVA). Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization. Questions: 914.1. Your colleague has drafted guidance for your firm's...
  2. Gdb

    CVA, independent amount & margin period of risk

    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
  3. O

    Counterparty credit risk in FRTB and CVA

    Hi @David Harper CFA FRM , I'm trying to understand the interactions between FRTB and CVA. There's 'default risk charge' in FRTB, where the gross jump to default is calculated for each instrument. Is this an overlap of what CVA tries to address? If FRTB already requires capital to the held...
  4. 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...
  5. Arka Bose

    Credit curve and CVA

    I was reading Gregory and there he mentions that 'in upward sloping curve, defaults are back loaded and in case of downward sloping curve, defaults are front loaded. What does this mean?
  6. K


    Why is higher recovery rate means higher implied prob. Of default? And if that is the case then changes to CVA will be net of increase in probability ofdefault and decrease in loss amount.. So will the final CVA lesser if the recovery amount is increased? Thanks Kavita
  7. 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...
  8. Nicole Seaman

    P2.T5.507. Credit and debit value (CVA and DVA) adjustments and the risk-free rate

    Learning outcomes: Explain why the OIS rate is a good proxy for the risk-free rate. Describe how to construct the OIS zero curve, and using it, determine forward LIBOR rates. Questions: 507.1. A company with an average funding cost of 4.0% is currently undertaking projects worth $80.0 million...