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5. A risk manager at a financial institution needs a quick calculation of the BCVA on a swap. Assume EPE = 5%, ENE = -3%,
5. A risk manager at a financial institution needs a quick calculation of the BCVA on a swap. Assume EPE = 5%, ENE = -3%, counterparty credit spread = 300bps, the financial institutions credit spread = 200 bps. Compute BCVA from the perspective of the financial institution.
A. -1bp
B. 1bp
C. 9bp
D. -9bp
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