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An investor said: “The formula for BCVAis similar to the formula for CVA, except that the BCVAformula incorporates the probability of the counterparty's survival and uses EPE.” Which of the following statements is accurate?

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A) The statement is correct with regard to EPE only.

B) The statement is correct with regard to probability of survival only.

C) The statement is incorrect with regard to both EPE and probability of survival.

D) The statement is correct with regard to both EPE and probability of survival.

答案:B

解析:The BCVAformula differs from the CVAformula in that BCVAincorporates negative expected exposure (NEE), and the probability of the counterparty's survival must be included in the BCVAformula.

You are a risk manager in an investment bank and recently given the task to do a quick calculation of the BCVAon a swap. Assume: EPE = 5%, ENE = 3%, financial institution CDS spread = 150 bps, counterparty CDS spread = 200 bps. What is the BCVAfrom the perspective of the financial institution?

A) -1.5

B) 1.5

C) 5.5

D) -5.5

答案:C

解析:BCVA= 0.02×0.05–0.015×0.03 = 5.5 bps

Which of the following capital charges would the CCP structure increase?

A) Funding value adjustment (FVA) charges.

B) Margin value adjustment (MVA) charges.

C) Capital value adjustment (KVA) charges.

D) Credit value adjustment (CVA) charges.扫码预约

答案:B

解析:The CCP structure should reduce credit value adjustment (CVA) charges, funding value adjustment (FVA) charges, and capital value adjustment (KVA) charges. It will increase margin value adjustment (MVA) charges. The reason for the MVA increase is that there is a higher margin requirement with a CCP than with a bilateral counterparty transaction

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