Barclays Bank bought a call option with 3 years to expiration from a hedge fund. The expected
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Question:
Assume that the option is uncollateralized, there is no recovery in the case of default and there are no other open positions with the hedge fund. The appropriate equivalent annual interest rate is 5% for all maturities.
1. What is the bank's CVA (in $ million)?
2. What is the bank's DVA (in $ million)?
Related Book For
Fundamentals of Investing
ISBN: 978-0133075359
12th edition
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
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