All other things being equal, which of the scenarios below will lead to the greatest increase in the sum of the Credit Value Adjustments for A and B?
A. upward shift of the swap curve and rating downgrade of party A
B. downward shift of the swap curve only
C. downward shift of the swap curve and rating downgrade of party B
D. downward shift of the swap curve and rating downgrade of party A
Answer:D
All other things being equal, which of the scenarios below will lead to the greatest increase in the sum of the Credit Value Adjustments for A and B?
A. upward shift of the swap curve and rating downgrade of party A B. downward shift of the swap curve only C. downward shift of the swap curve and rating downgrade of party B D. downward shift of the swap curve and rating downgrade of party A