dva

  1. 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...
  2. 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...
  3. 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...
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