credit-spread

Hi There was a question like calculate credit spread and express in continuous compounding. I believe they wanted us to use FRM I material for an FRM 2 question. If the credit spread is 3% then how would one express in terms of continuous compounding?? thx

Hi David, I have a fairly basic question but it's been bugging me. I have found that some people use a different formula to compute credit spread, namely: 1-(1+risk free yield)/(1+risky yield) The difference in result with formula of -1/T*ln(D/F)-Rf is often not massive but it has already led...

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...

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...