easy · Frm Part 2 Credit Risk
Which statement regarding 'Right-Way Risk' (RWR) and Credit Valuation Adjustment (CVA) is most accurate?
- CVA calculations should always ignore RWR to remain conservative.
- RWR suggests that the bank is effectively 'over-insured' against counterparty default in the states that matter.
- RWR is only relevant for sovereign-linked counterparties.
- RWR disappears if the bank requires daily variation margin.
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