the credit valuation adjustment (CVA) framework factor

问题如下：

How does the credit valuation adjustment (CVA) framework factor into private debt valuation?

选项：

A.

It only considers the probability of default and ignores the loss given default.

B.

It calculates the present value of credit risk by considering both the probability of default and the loss given default.

C.

It is used to determine the optimal interest rate for the debt.

解释：

B is the correct answer. The credit valuation adjustment (CVA) takes into account two key components: the probability of default (POD), which is the likelihood that a borrower fails to make full and timely payments of principal and interest, and the loss given default (LGD), which is the amount a lender fails to recover if a default occurs. EL=POD*LGD

它考虑两个关键组成部分：违约概率（POD），即借款人未能按时足额支付本金和利息的可能性，以及违约损失率（LGD），即发生违约时贷款人无法收回的金额。 EL=POD*LGD