debt-value-adjustment

  1. Nicole Seaman

    P2.T6.24.34 Credit Value Adjustment and Debt Value Adjustment

    Learning Objectives: Explain the impact of incorporating collateralization into the CVA calculation, including the impact of margin period of risk, thresholds, and initial margins. Calculate DVA, BCVA, and BCVA as a spread. Explain the distinctions between unilateral CVA (UCVA) and BCVA, and...
    • Nicole Seaman
    • Thread
    • bcva-formula bcva-spread credit-value-adjustment cva debt-value-adjustment dva initial-margin margin-period thresholds unilateral-bcva unilateral-cva unilateral-dva
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T6.708. Stress testing the credit value adjustment (CVA)

    Learning objectives: Describe a stress test that can be performed on CVA. Calculate the stressed CVA and the stress loss on CVA. 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...
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