A CSA between a dealer and one of its counterparties states that collateral has to be posted

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A CSA between a dealer and one of its counterparties states that collateral has to be posted by both sides with zero thresholds. If the cure period is assumed to be 10 days, under what circumstances will the dealer's CVA model lead to losses?

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Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

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Question Posted: Mar 08, 2024 01:00 AM

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A CSA between a dealer and one of its counterparties states that collateral has to be posted

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There will be losses in the CVA model if the value o...View the full answer

Risk Management And Financial Institutions

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