
Explanation:
The CVA can be calculated as a running spread by multiplying the counterparty’s expected positive exposure by its credit spread.
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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
A
-800 bps
B
-167 bps
C
-200 bps
D
-15 bps