CVA Excel Calculator for Interest Rate Swaps

Description
CVA is a metric for Counterparty Credit Risk.  Fall of Lehman Brothers in 2008 sparked widespread attention to counterparty credit risk. The credit crisis has brought CCR to prominence now that the attitude of “too big to fail” is dispelled and CCR is now considered by many to be the key financial risk. CCR covers an enormous volume of over-the-counter (OTC) derivatives. The burgeoning derivatives market has grown exponentially over the last decade (Figure 1). It was the case that derivatives were traded between two worthy bankruptcy remote counterparties with triple-A ratings. As the market grew and innovation in collateral arrangements became more sophisticated, more and more of less worthy institutions started to enter into OTC contracts. The years 2007 and 2008 which marked the start of the crisis brought the notion that “ big too can fail” and clearly highlighted to the market participants that derivatives are not all that safe a set of financial risk management instruments if one does not measure and manage CCR.
Risc Mirror has developed an application which demonstrates our understanding and serves to help as an accelerator to implementing a counterparty credit risk framework.
This EXCEL sheet computes this metric using analytical approach as opposed to Monte Carlo approach.  It also provides other metrics such as Expected Exposure.  It covers a lot of variances of interest rate swap such as forward starting swaps, swaps with manadatory early termination, accreting or amortizing swaps.  It was benchmarked with BBG (Bloomberg) Numbers.  This tool can also be used for FX Fowards and CCY Swap.