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 $10m, what is the new CVA after the adjustment, assuming CVA scales linearly with EAD?
- $10m
- $12m
- $18m
- $15m
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