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: | Parameter | Bank Gamma | Bank Phi | |----------------------------------|------------|----------| | Annual probability of default | 2.5% | 1.8% | | Recovery rate | 82% | 92% | What is the BCVA from Bank Gamma's perspective? | Financial Risk Manager Part 2 Quiz - LeetQuiz