The following is a list of Appendices that contain additional mathematical detail. These Appendices can be downloaded freely from www.cvacentral.com.
Appendix 7A Exposure and time period scaling
Appendix 11A Exposure metrics for a normal distribution
Appendix 11B Forward and swap exposure profiles
Appendix 11C Approximate cross-currency profile
Appendix 11D Simple aggregation example for a normal distribution
Appendix 12A Risk-neutral default probability calculation
Appendix 13A Large homogenous pool approximation for credit losses
Appendix 13B Standardised CVA capital formula
Appendix 15A Swaption analogy and the EPE of an interest rate swap
Appendix 15B Marginal EPE
Appendix 15C Collateralised EPE approx.
Appendix 15D Simple initial margin calculation
Appendix 16A ColVA formula
Appendix 17A CVA formula derivation
Appendix 17B CVA as a running spread
Appendix 17C CVA approx. via EPE
Appendix 17D Bilateral CVA formula (CVA and DVA)
Appendix 17E Incremental CVA
Appendix 17F Wrong-way risk and CVA
Appendix 17G CVA for a CDS contract
Appendix 18A FVA formula and discounting
Appendix 19A KVA calculation
Appendix 21A Beta hedging