This page contains spreadsheet examples referred to in my CVA books. Key inputs are marked in green and main outputs in red.

The spreadsheets are free to download but please consider a charitable donation here

Fourth Edition

• Chapter 4 exercises
• Chapter 6 exercises
• Chapter 7 exercises
• Chapter 9 exercises
• Chapter 10 exercises
• Chapter 11 exercises
• Chapter 12 exercises
• Chapter 13 exercises
• Chapter 15A exercises (15.1, 15.2, 15.3, 15.5 and 15.8)
• Chapter 15B exercises (15.4 and 15.9)
• Chapter 15C exercises (15.6 and 15.7)
• Chapter 16 exercises
• Chapter 17 exercises
• Chapter 18 exercises
• Chapter 19 exercises
• All exercises A (zip file)
• All exercises B (zip file)

Third Edition

  NOTE: The files below are all saved as Excel 2013 Macro-Enabled Worksheet (xlsm). These may not be compatible with old versions of Excel unless you have downloaded the compatibility pack. If you cannot open a file this is likely to be the problem.

• Chapter 4 exercises – 25 KB
• Chapter 6 exercises – 49 KB
• Chapter 7 exercises – 98 KB
• Chapter 8 exercises – 1.53 MB
• Chapter 10 exercises – 9.24 MB
• Chapter 11 exercises – 3.01 MB – UPDATED 23/05/16 (segregated initial margin)
• Chapter 12 exercises – 355 KB
• Chapter 14 exercises – 113 KB
• Chapter 15 exercises – 94 KB
• Chapter 17 exercises – 60 KB
• Chapter 19 exercises – 385 KB

Second Edition

  NOTE: The files below are all saved as Excel 2010 Macro-Enabled Worksheet (xlsm). These may not be compatible with old versions of Excel unless you have downloaded the compatibility pack. If you cannot open a file this is likely to be the problem.

• Chapter 3 exercises – 25 KB
• Chapter 4 exercises – 20 KB
• Chapter 6 exercises – 37 KB
• Chapter 8 exercises – 104 KB
• Chapter 9 exercises – 15 MB (Large File)
• Chapter 10 exercises – 498 KB
• Chapter 11 exercises – 973 KB
• Chapter 12 exercises – 109 KB
• Chapter 13 exercises – 71 KB
• Chapter 14 exercises – 90 KB
• Chapter 15 exercises – 101 KB

All Chapters (zipped) – 13 MB (Large File)

First Edition

Anyone wanting unlocked spreadsheets (to view the VBA) then please contact me and I’ll be happy to send them. Note that the second and third edition spreadsheets above are NOT VBA password protected.

• Chapter 2 exercises – UPDATED 10/02/2012
• Chapter 3 exercises – UPDATED 10/02/2012
• Chapter 4 exercises – UPDATED 10/02/2012
• Chapter 5 exercises – UPDATED 10/02/2012
• Chapter 6 exercises – UPDATED 10/02/2012
• Chapter 7 exercises – UPDATED 10/02/2012
• Chapter 8 exercises – UPDATED 10/02/2012
• Chapter 10 exercises – UPDATED 10/02/2012
• Chapter 13 exercises – UPDATED 10/02/2012

 

 

Read Comments on spreadsheets (pdf)

Additions to spreadsheets not originally listed in the book

• Spreadsheet 2.2b – EE and PFE for a normal distribution with collateral threshold
• Spreadsheet 4.4 – Now includes collateral threshold in marginal EE calculations
• Spreadsheet 4.5 – Marginal Expected Exposure Calculation – UPDATED 23/03/2010
• Spreadsheet 5.2 – Quantifying the impact of an ETA (break-clause) on exposure
• Spreadsheet 7.1b – CVA + DVA calculation