One of the key features of the first and second editions 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. Many of these examples have been used for training courses and have therefore evolved to be quite intuitive and user-friendly. The spreadsheets can be downloaded freely from Jon Gregory's website, www.cvacentral.com, under the counterparty risk section. New examples may be added over time.
Spreadsheet 6.1 Compression example.
Spreadsheet 7.1 Margin calculation including thresholds and initial margins.
Spreadsheet 9.1 Initial margin calculation of an interest rate swap using historical simulation.
Spreadsheet 9.2 Example ISDA SIMM™ calculations.
Spreadsheet 10.1 Illustration of Auction Incentive Pool (AIP) calculation.
Spreadsheet 11.1 Simple exposure metric calculation.
Spreadsheet 11.2 EPE and PFE for a normal distribution.
Spreadsheet 11.3 Simple example of a cross-currency swap profile.
Spreadsheet 11.4 Simple calculation of the exposure of a CDS.
Spreadsheet 11.5 Simple two transaction example of netting effects.
Spreadsheet 11.6 Impact of variation and initial margin on exposure and funding.
Spreadsheet 12.1 Calculating risk-neutral default probabilities.
Spreadsheet 12.2 Example cross-sectional methodology for credit spreads.
Spreadsheet 13.1 Implementation of SA-CCR.
Spreadsheet 13.2 Calculation of ‘alpha’ factor.
Spreadsheet 13.3 EPE and EEPE example.
Spreadsheet 13.4 Comparison of capital costs across different methodologies.
Spreadsheet 15.1 Semianalytical calculation of the exposure for a swap.
Spreadsheet 15.2 Example marginal exposure calculation.
Spreadsheet 15.3 Simple simulation of an interest rate swap exposure.
Spreadsheet 15.4 Simple margin simulation based on portfolio value.
Spreadsheet 15.5 One-factor Hull-White model for exposure for interest rate products.
Spreadsheet 15.6 Illustration of the impact of netting.
Spreadsheet 15.7 Marginal EPEs.
Spreadsheet 15.8 Notional resetting cross-currency swap.
Spreadsheet 15.9 Quantifying the impact of margin on exposure.
Spreadsheet 16.1 ColVA calculation.
Spreadsheet 17.1 Direct CVA calculation for an interest rate swap.
Spreadsheet 17.2 Path-wise CVA calculation for an interest rate swap.
Spreadsheet 17.3 CVA and DVA calculations.
Spreadsheet 17.4 Incremental CVA and DVA calculations.
Spreadsheet 17.5 Marginal CVA and DVA calculations.
Spreadsheet 17.6 Simple wrong-way risk example.
Spreadsheet 17.7 Direct simulation of wrong-way risk for an interest rate swap.
Spreadsheet 17.8 Exposure distribution using a Gaussian copula approach.
Spreadsheet 18.1 Symmetric FVA calculation compared to discounting approach.
Spreadsheet 18.2 Asymmetric FVA calculation.