Financial Risk Manager Part 2
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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:
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:
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A
Incremental CVA because it accounts for the change in CVA once the new trade is priced, accounting for netting.
B
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