medium · FRM Part 2 Credit Risk
A bank enters into a 'wrong-way' commodity trade where the Alpha (α) multiplier is increased from the floor of 1.2 to 1.8 by the supervisor.
If the original CVA was $10 m, what is the new CVA after the adjustment, assuming CVA scales linearly with EAD?
- $10 m
- $12 m
- $18 m
- $15 m
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