Q.2699 In a swap transaction, the counterparty’s expected positive exposure (EPE) is 5% and its credit spread is 300 basis points. Calculate the CVA as a running spread | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
Explanation:
The CVA can be calculated as a running spread by multiplying the counterparty’s expected positive exposure by its credit spread.
CVA=−5%×0.03=−15 bps
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Q.2699 In a swap transaction, the counterparty’s expected positive exposure (EPE) is 5% and its credit spread is 300 basis points. Calculate the CVA as a running spread
