关于CVA的计算

问题如下：

A senior risk manager at Bank Gamma is presenting to a group of newly hired junior risk analysts on calculating bilateral CVA (BCVA). To illustrate the calculations, the manager assumes that Bank Gamma and Bank Phi are the only counterparties to each other and provides the following information about Bank Gamma:

• The discounted expected positive exposure to Bank Phi is CNY 60 million

• The discounted expected negative exposure to Bank Phi is CNY 45 million

Additional information on the two banks is shown below:

What is the BCVA from Bank Gamma’s perspective?

选项：

A.

CNY 84,240

B.

CNY 114,615

C.

CNY 198,855

D.

CNY 201,960

解释：

B is correct. Let p denote Bank Gamma as the party (as the party making the calculation), and c denote Bank Phi as counterparty. Also, note that the BCVA = CVA + DVA

So,

CVA_p = – LGD_c * EPE_p * PD_c * (1 – PD_p)

= – (0.08 * 60,000,000 * 0.018 * 0.975) = CNY -84,240

DVA_p = – LGD_p * ENE_c * PD_p * (1 – PD_c)

= – (0.18 * -45,000,000 * 0.025 * 0.982) = CNY 198,855

Therefore,

BCVA = CVA + DVA = CNY -84,240 + CNY 198,855 = CNY 114,615

A is incorrect. CNY 84,240 is the CVA of Bank Gamma and the negative sign is ignored.

C is incorrect. CNY 198,855 is the DVA of Bank Gamma.

D is incorrect. CNY 201,960 is the result obtained when the expected exposures in the CVA and the DVA formulas are switched and ignored the sign of BCVA.