|
|
![]() | ![]() | ![]() | ![]() |
| |||||||||
JPM » Topics » CVA sensitivities: CVA increases as deals become more in the money and as counterparty credit spreads widenThis excerpt taken from the JPM 8-K filed Feb 27, 2009. CVA sensitivities: CVA increases as deals become more in the money and as counterparty credit spreads widen DERIVATIVES AT JPM
CVA Example with an A+ Rated Counterparty ($ in millions)
|
| |||||||