NO.PZ2016082405000072
问题如下:
With respect to the CVA calculation, which of the following statements is correct when a risk manager wishes to understand which trades have the greatest impact on a counterparty’s CVA? The manager would use:
选项: A. incremental CVA because it accounts
for the change in CVA once the new trade is priced, accounting for netting.
B. marginal CVA because he could break
down netted trades into trade level contributions.
C. incremental CVA because he could
break down netted trades into trade level contributions.
D. marginal CVA because it accounts for
the change in CVA once the new trade is priced, accounting for netting.
解释:
B Understanding which trades have the greatest impact on a counterparty’s credit value adjustment requires use of the marginal CVA. Incremental CVA, by contrast, is useful for pricing a new trade with respect to an existing one.
icva应该类似投资风险分析里面的,一个新的trade对cva的贡献,mcva是一单位trade交易量变动对cva的贡献啊,题目中问的是trade