Spreadsheets

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

 

Third Edition

ExcelNOTE: 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.

 

Second Edition

ExcelNOTE: 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.

 

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.

PDF

 

Comments on spreadsheets

 

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

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