cva

Hello David, I was going through Basel III finalisation and have found that the standard approach does not employ exposure at all in the calculation of CVA. 1. Does this mean SA-CVA will be will be in the form of spread which must be reduced from the price of a derivative? 2. Will be grateful...

Hello David! I have noticed that formula for both expected loss and CVA is the same. CVA is the present value of future exposure. Isn't expected loss the same thing? I am aware that EL is used for both credit risk and counterparty credit risk. So, why CVA if we can measure CCR with EL? Would be...

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?

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...

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?

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

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...