Spreadsheets
One of the key features of the first edition of this book was the accompanying spreadsheets that were prepared to allow the reader to gain some simple insight into some of the quantitative aspects discussed in the main text. Many of these examples have been used for training courses and have therefore evolved to be quite intuitive and user-friendly (I hope). For this second edition, I have completely updated these spreadsheets to include more sophisticated and additional examples. The spreadsheets can be downloaded freely from my website www.cvacentral.com under the counterparty risk section. New examples will be added over time. Any questions then please contact me via the above website.
| Spreadsheet 3.1 | Counterparty risk for a forward contract-type exposure. |
| Spreadsheet 4.1 | Simple netting calculation. |
| Spreadsheet 6.1 | Simple monoline example. |
| Spreadsheet 8.1 | EE and PFE for a normal distribution. |
| Spreadsheet 8.2 | EPE calculation. |
| Spreadsheet 8.3 | EPE and effective EPE example. |
| Spreadsheet 8.4 | Simple example of a cross-currency swap profile. |
| Spreadsheet 8.5 | Simple calculation of the exposure of a CDS. |
| Spreadsheet 8.6 | Call and return collateral example with logic relating to independent amounts, thresholds, collateral held, minimum transfer amount and rounding. |
| Spreadsheet 9.1 | Simulation of an interest rate swap exposure with a one-factor Vasicek model. |
| Spreadsheet 9.2 | Illustration of the impact of netting for the examples considered. |
| Spreadsheet ... |
