stressed-cva
-
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...- Nicole Seaman
- Thread
- ccr credit-value-adjustment cva debt-value-adjustment dva stress-loss stress-testing stressed-cva
- Replies: 0
- Forum: FRM® Practice Questions