问题如下:
Regarding the impact of changes in the credit spread and recovery rate assumptions on the CVA, which of the following statements is true?
选项:
A. A decrease in the credit spread will
most often increase the CVA.
B. For an upward-sloping curve, the CVA
will be higher compared to a downward- sloping curve.
C. Increasing the recovery rate will
reduce the ^VA.
D. If the actual recovery rate is higher
than the settled recovery rate, the CVA will most likely be higher compared to
a situation where both recovery assumptions are the same for both rates.
解释:
C Increasing the recovery rate will increase the implied probability of default but reduce the resulting CVA.. The CVA will most often increase given an increase in the credit spread. When considering the shape of the credit spread curve, the CVA will be lower for an upward- sloping curve compared to a downward-sloping curve. Finally, a higher actual recovery rate will most likely lead to a lower CVA compared to a situation where the recovery assumptions are the same for both actual and settled rates.