Last version published: 17/09/2018 09:24
Publication number: ELQ-29871-2
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CVA Excel Calculator for Derivatives (Credit Value Adjustment)
Calculation of Credit Value Adjustment and Exposure Metrics
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To compute the Unilateral Credit Value Adjustment for a Bank entering into a derivative contract
To find the credit cost of a counterparty when a bank enters into a derivative contract
It is only good as an approximate.
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