Credit Valuation Adjustment (CVA) for a European Option | FRM Part 2 (Credit Risk) | Solved Example
In this video from the FRM Part 2 curriculum, we take a look at the concept of Credit Valuation Adjustment (CVA) for the simple, but special case of a European option. We solve a numerical example taken from Reading 12 of Book 2 of the FRM Part 2 curriculum. For more preparation resources related to the FRM Part 2 exam, please visit the course page below:
https://www.finRGB.com/courses/frm-pa...