January 2010
Intermediate to advanced
448 pages
14h 22m
English
Spreadsheets
The following spreadsheets have been prepared to allow the reader to gain some simple insight into some of the quantitative aspects discussed in the main text. The spreadsheets can be downloaded freely from my website www.oftraining.com under the counterparty risk section. Many of these examples have been used for training courses and have therefore evolved to be quite intuitive and user-friendly. New examples will be added over time. Any questions then please email me at jon@oftraining.com
| Spreadsheet 2.1 | Counterparty risk for an FX forward trade |
| Spreadsheet 2.2 | EE and PFE for a normal distribution |
| Spreadsheet 2.3 | EPE and effective EPE example |
| Spreadsheet 3.1 | Simple netting calculation |
| Spreadsheet 3.2 | Call-and-return collateral example with logic relating to independent amounts, thresholds, collateral held, minimum transfer amount and rounding |
| Spreadsheet 4.1 | Exposure calculation for a forward contract |
| Spreadsheet 4.2 | Simulation of an interest rate swap exposure with a one-factor Hull–White model |
| Spreadsheet 4.3 | Illustration of the impact of netting for interest rate and cross-currency swaps |
| Spreadsheet 4.4 | Marginal exposure calculation |
| Spreadsheet 5.1 | Quantifying the impact of collateral on exposure |
| Spreadsheet 6.1 | Analysis of historical default probabilities |
| Spreadsheet 6.2 | Implementation of Merton model |
| Spreadsheet 6.3 | Calculating market-implied default probabilities |
| Spreadsheet 7.1 | Simple CVA calculation |
| Spreadsheet 7.2 | Semi-analytical ... |
