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recovery-rate

  1. L

    CALCULATE LOSS RATE

    Hi, How could you calculate LR(Loss Rate) from Unexpected Loss formula? UL= EA X ((PD X stand^2 LR) + (LR^2 x stand^2 PD))^1/2 Many thanks, Javier
  2. 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...
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