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南四环组 · 2019年07月27日
问题如下图:
选项:
A.
B.
C.
D.
解释:
知识点在讲义哪啊
orange品职答疑助手 · 2019年07月28日
incremental CVA 和 marginal CVA 在信用风险section13里
NO.PZ2016082405000072 With respeto the CVA calculation, whiof the following statements is correwhen a risk manager wishes to unrstanwhitras have the greatest impaon a counterparty’s CVThe manager wouluse: incrementCVA because it accounts for the change in CVA onthe new tra is price accounting for netting. marginCVA because he coulbrewn nettetras into tra level contributions. incrementCVA because he coulbrewn nettetras into tra level contributions. marginCVA because it accounts for the change in CVA onthe new tra is price accounting for netting. B Unrstanng whitras have the greatest impaon a counterparty’s cret value austment requires use of the marginCVIncrementCVcontrast, is useful for pricing a new tra with respeto existing one. icva应该类似投资风险分析里面的,一个新的tra对cva的贡献,mcva是一单位tra交易量变动对cva的贡献啊,题目中问的是tra