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  1. 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...
  2. 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...
  3. Nicole Seaman

    P2.T6.904. Trade compression and termination events (Gregory Ch.5)

    Learning objectives: Describe the effectiveness of netting in reducing credit exposure under various scenarios. Describe the mechanics of termination provisions and trade compressions and explain their advantages and disadvantages. Identify and describe termination events and discuss their...
  4. Nicole Seaman

    P2.T6.903. The International Swaps and Derivatives Association (ISDA) Master Agreement (Gregory Ch.4)

    Learning objectives: Explain the purpose of an ISDA master agreement. Summarize netting and close-out procedures (including multilateral netting), explain their advantages and disadvantages, and describe how they fit into the framework of the ISDA master agreement. Questions: 903.1. Becky's...
  5. R

    GARP.FRM.PQ.P2 Bilateral Netting - GARP FRM P2 2018 MOCK (Q49)

    There are two parts to this post. The first deals with a Practice Question Q 49 from 2018. The second modifies that to test the concept of multilateral netting. Q 49. Four derivative counterparties have entered into bilateral netting arrangements. The exhibit below presents a summary of their...
  6. S

    Netting vs closeout netting

    Hi David, In Gregory chapter 4 there are separate sections for "netting" and "close out netting " Is there any difference between the 2 as the examples provided for each of them also seems identical Thanks
  7. Nicole Seaman

    P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure

    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...
  8. P

    Impact of Netting on Exposure

    Why will the netting benefit be the greatest when a party enters into a trade with positive initial MtM and negative correlation? Can someone please explain the link between the two? Thanks a lot in advance.