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

小宋宋 · 2021年04月29日

为什么upwad CVA is smaller than downward CVA

NO.PZ2016082405000074

问题如下:

Regarding the impact of changes in the credit spread and recovery rate assumptions on the CVA, which of the following statements is true?

选项:

A.

A decrease in the credit spread will most often increase the CVA.

B.

For an upward-sloping curve, the CVA will be higher compared to a downward- sloping curve.

C.

Increasing the recovery rate will reduce the ^VA.

D.

If the actual recovery rate is higher than the settled recovery rate, the CVA will most likely be higher compared to a situation where both recovery assumptions are the same for both rates.

解释:

C Increasing the recovery rate will increase the implied probability of default but reduce the resulting CVA.. The CVA will most often increase given an increase in the credit spread. When considering the shape of the credit spread curve, the CVA will be lower for an upward- sloping curve compared to a downward-sloping curve. Finally, a higher actual recovery rate will most likely lead to a lower CVA compared to a situation where the recovery assumptions are the same for both actual and settled rates.

为什么upwad CVA is smaller than downward CVA  ,但是clearly credit spread increases as cva increases ?这不矛盾吗?

1 个答案

袁园_品职助教 · 2021年04月30日

同学你好!

这两个不矛盾,老师在CVA01这个视频里都讲过(绿色箭头的两个地方),你可以先去听一下,不明白我们再讨论

  • 1

    回答
  • 1

    关注
  • 607

    浏览
相关问题

For upwarsloping curve, the CVA will higher compareto a wnwar sloping curve. Increasing the recovery rate will rethe ^V If the acturecovery rate is higher ththe settlerecovery rate, the CVA will most likely higher compareto a situation where both recovery assumptions are the same for both rates. C Increasing the recovery rate will increase the implieprobability of fault but rethe resulting CVA.. The CVA will most often increase given increase in the cret sprea When consiring the shape of the cret sprecurve, the CVA will lower for upwar sloping curve compareto a wnwarsloping curve. Finally, a higher acturecovery rate will most likely leto a lower CVA compareto a situation where the recovery assumptions are the same for both actuansettlerates. 感觉和课件上最后一段话有矛盾,最后一段讲的是RR对cva没影响

2020-10-19 18:42 1 · 回答

Regarng the impaof changes in the cret spreanrecovery rate assumptions on the CVwhiof the following statements is true? A crease in the cret sprewill most often increase the CVFor upwarsloping curve, the CVA will higher compareto a wnwar sloping curve. Increasing the recovery rate will rethe ^V If the acturecovery rate is higher ththe settlerecovery rate, the CVA will most likely higher compareto a situation where both recovery assumptions are the same for both rates. C Increasing the recovery rate will increase the implieprobability of fault but rethe resulting CVA.. The CVA will most often increase given increase in the cret sprea When consiring the shape of the cret sprecurve, the CVA will lower for upwar sloping curve compareto a wnwarsloping curve. Finally, a higher acturecovery rate will most likely leto a lower CVA compareto a situation where the recovery assumptions are the same for both actuansettlerates. 请问答案中说Increasing the recovery rate will increase the implieprobability of fault but rethe resulting CV如何理解RR提高会增加implieprobability of fault呢?

2020-02-29 23:37 1 · 回答

Regarng the impaof changes in the cret spreanrecovery rate assumptions on the CVwhiof the following statements is true? A crease in the cret sprewill most often increase the CVFor upwarsloping curve, the CVA will higher compareto a wnwar sloping curve. Increasing the recovery rate will rethe ^V If the acturecovery rate is higher ththe settlerecovery rate, the CVA will most likely higher compareto a situation where both recovery assumptions are the same for both rates. C Increasing the recovery rate will increase the implieprobability of fault but rethe resulting CVA.. The CVA will most often increase given increase in the cret sprea When consiring the shape of the cret sprecurve, the CVA will lower for upwar sloping curve compareto a wnwarsloping curve. Finally, a higher acturecovery rate will most likely leto a lower CVA compareto a situation where the recovery assumptions are the same for both actuansettlerates. rr和p关系怎么看出来的呢请问

2019-11-04 22:43 1 · 回答

     老师好,请问settlerecovery rate是哪个知识 ,跟actuRR 的关系是?

2019-05-04 13:09 1 · 回答