Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The credit value adjustment (CVA) is best described as: The cost of funding derivative positions The banks estimate of the PV of the expected cost

The credit value adjustment (CVA) is best described as:

  1. The cost of funding derivative positions
  2. The banks estimate of the PV of the expected cost to a bank of a counterparty default
  3. The PV of the expected gain to the bank from the possibility that it might itself default
  4. The cost of incremental capital that may be required to execute a derivative contract

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Mathematics Of Finance

Authors: Robert Brown, Petr Zima

2nd Edition

0071756051, 9780071756051

More Books

Students also viewed these Finance questions

Question

=+a) What time series components do you observe in this series?

Answered: 1 week ago