Appendices
The following is a list of Appendices which contain additional mathematical detail. These Appendices can be downloaded freely from my website www.cvacentral.com under the counterparty risk section. Any questions then please contact me via the above website.
| Appendix 6A | Simple monoline formula. |
| Appendix 8A | Formulas for EE, PFE and EPE for a normal distribution. |
| Appendix 8B | Example exposure calculation for a forward contract. |
| Appendix 8C | Example exposure calculation for a swap. |
| Appendix 8D | Example exposure calculation for a cross-currency swap. |
| Appendix 8E | Simple netting calculation. |
| Appendix 9A | Additional mathematical detail on exposure models. |
| Appendix 9B | Marginal exposure calculation. |
| Appendix 9C | Example calculations of the impact of collateral on exposure. |
| Appendix 10A | Definition of cumulative default probability function. |
| Appendix 10B | Mathematics behind the default process and calculation of market-implied default probabilities. |
| Appendix 11A | Calculation of joint default probabilities with a bivariate normal distribution function and description of credit portfolio models. |
| Appendix 12A | Deriving the standard CVA formula. |
| Appendix 12B | Computation of the CVA formula and simple spread-based approximation. |
| Appendix 12C | CVA formula for an option position. |
| Appendix 12D | Semi-analytical calculation of the CVA for a swap. |
| Appendix 12E | Incremental CVA formula. |
| Appendix 13A | Deriving the bilateral CVA formula. |
| Appendix 14A | Funding value adjustment ... |
