开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

shangc · 2024年05月11日

D为什么不对,D和B的区别是什么?

NO.PZ2024050101000094

问题如下:

With respect to the CVA calculation, which of the following statement is correct when a risk manager wishes to understand which trades have the greatest impact on a counterparty’s CVA? The manager would use:

选项:

A.

Incremental CVA because it accounts for the change in CVA once the new trade is priced, accounting for netting

B.

Marginal CVA because he could break down netted trades into trade level contributions

C.

Incremental CVA because he could break down netted trades into trade level contributions

D.

Marginal CVA because it accounts for the change in CVA once the new trade is priced, accounting for netting

解释:

Understanding which trades have the greatest impact on a counterparty’s credit value adjustment requires use of the marginal CVA. Incremental CVA, by contrast, is useful for pricing a new trade with respect to an existing one.

请问D选项和B选项的区别是?D选项为什么不对?Marginal CVA because it accounts for the change in CVA once the new trade is priced, accounting for netting

1 个答案
已采纳答案

pzqa27 · 2024年05月12日

嗨,努力学习的PZer你好:


B后面break down netted trades into trade level contributions这部分就是对marginal CVA的解释。 marginal CVA指的就是把总的CVA进行分解,然后看下每一个trade带来的贡献。D说的是考虑了新交易后的CVA变化,那是incremental CVA的解释,不是marginal CVA的含义。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 102

    浏览
相关问题