Explanation:
Stress loss = CVAs − CVA
Where CVAs is the CVA under stress market conditions; and CVA is the normal CVA.
Stress loss = $76 million − $4.3 million = $71.7 million
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Q.3045 A risk analyst at BJD Group is analyzing the group’s bond portfolio and wants to calculate the stress loss for the portfolio. According to a risk management system report, the credit value adjustment for the portfolio under normal market conditions is $4.3 million. At the same time the credit value adjustments jumps to $76 million as the markets goes down by 30%. What is the stress loss for BJD group?
A
$21.51 Million
B
$18.50 Million
C
$74.71 Million
D
$71.70 Million