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Part II
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Credit Risk
Credit Risk
Hard
Granite Bank calculates CVA on a 5-year swap with Apex Corp. The expected exposure is $8 million, Apex's cumulative probability of default is 5%, and the LGD is 60%. Using a simplified CVA calculation, the CVA is closest to:
A
$240,000
B
$400,000
C
$480,000
D
$2,400,000
Select an answer to continue
Tags
#cva
#expected-exposure
#counterparty-risk
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