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小宋宋 · 2021年04月29日

为什么upwad CVA is smaller than downward CVA

NO.PZ2016082405000074

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.

为什么upwad CVA is smaller than downward CVA  ,但是clearly credit spread increases as cva increases ?这不矛盾吗?

1 个答案

袁园_品职助教 · 2021年04月30日

同学你好!

这两个不矛盾,老师在CVA01这个视频里都讲过(绿色箭头的两个地方),你可以先去听一下,不明白我们再讨论

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