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Exam 8008 All Questions
Exam 8008 All Questions

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PRMIA PRM 8008 Question # 108 Topic 11 Discussion

8008 Exam Topic 11 Question 108 Discussion:
Question #: 108
Topic #: 11

Which of the following formulae describes CVA (Credit Valuation Adjustment)? All acronyms have their usual meanings (LGD=Loss Given Default, ENE=Expected Negative Exposure, EE=Expected Exposure, PD=Probability of Default, EPE=Expected Positive Exposure, PFE=Potential Future Exposure)


A.

LGD * ENE * PD


B.

LGD * EPE * PD


C.

LGD * EE * PD


D.

LGD * PFE * PD


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