hard · Frm Part 2 Credit Risk
A bank calculates its Credit Valuation Adjustment (CVA). Which of the following inputs must be used to ensure CVA represents a 'price' rather than an 'actuarial reserve'?
- Physical default frequencies from rating agency tables
- Risk-neutral default probabilities and risk-neutral exposures
- Expected Loss (EL) based on current provisioning stages
- Through-the-cycle PDs and downturn LGDs
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