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:
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[@yasirhasantaqi2230]

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[@finRGB]

Hello Yasir, for any course registration queries, please drop us a mail at [e-mail].

[@QUANT.369]

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[@finRGB]

If you'd like to understand CVA, you can watch these (more introductory) videos on the channel before accessing this video:
1) Exposure metrics: ruclips.net/video/0XXnqihoCY4/видео.html
2) Valuation Adjustments: ruclips.net/video/7m7rXBRhqa4/видео.html
3) CVA for a Bond: ruclips.net/video/vKBV7YCQi1Y/видео.html