debt-valuation-adjustment

  1. Derrick.Roslanic

    P2.T6.25.4 DVA Calculations and Pitfalls in Stress Testing CCR

    Learning Objectives: 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 CCR. Questions: 25.4.1. Xavier Bank, Inc. (the Bank) has financial exposure to four counterparties: Alpha...
  2. Nicole Seaman

    P2.T6.24.20 Evaluating Derivatives, Adjustments, Probability of Default, and Mitigation Strategies

    Learning Objectives: Assess the credit risks of derivatives. Define credit valuation adjustment (CVA) and debt valuation adjustment (DVA). Calculate the probability of default using credit spreads. Describe, compare, and contrast various credit risk mitigants and their role in credit analysis...
    • Nicole Seaman
    • Thread
    • credit-analysis credit-risk-mitigants credit-spreads credit-valuation-adjustment cva debt-valuation-adjustment derivatives dva probability-of-default
    • Replies: 0
    • Forum: FRM® Practice Questions
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