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[]
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[null,"Parameters",null,null,null,null,"Probability"]
[null,"Mu (mean)",2,null,null,{"$f":"Mu-Sigma*4","v":-14},{"$f":"NORMDIST(F11,Mu,Sigma,FALSE)","v":3.3457556441221342E-5},{"$f":"EE","v":2.7911862296052243},{"$f":"PFE","v":11.305391496163363},0,{"$f":"Mu","v":2}]
[null,"Standard deviation (sigma)",4,null,null,{"$f":"F11+Sigma/10","v":-13.6},4.9663867848193179E-5,{"$f":"EE","v":2.7911862296052243},{"$f":"PFE","v":11.305391496163363},{"$f":"MAX(G11:G96)","v":9.9735570100358176E-2},{"$f":"K11","v":2}]
[null,"Alpha (confidence level)",0.99,null,null,-13.2,7.2986731447865068E-5]
[null,null,null,null,null,-12.799999999999999,1.0619506763768805E-4]
[null,"Calculations",null,null,null,-12.399999999999999,1.5297548252844325E-4]
[null,"Expected exposure (EE)",{"$f":"Mu*NORMSDIST(Mu/Sigma)+Sigma*NORMDIST(Mu/Sigma,0,1,FALSE)","v":2.7911862296052243},null,null,-11.999999999999998,2.1817067376144042E-4]
[null,"Potential future exposure (PFE)",{"$f":"Mu+NORMSINV(Alpha)*Sigma","v":11.305391496163363},null,null,-11.599999999999998,3.0805479211825525E-4]
[null,null,null,null,null,-11.199999999999998,4.3064223476342107E-4]
[null,null,null,null,null,-10.799999999999997,5.9602205036621216E-4]
[null,null,null,null,null,-10.399999999999997,8.1670476404998183E-4]
[null,null,null,null,null,-9.9999999999999964,1.1079621029845047E-3]
[null,null,null,null,null,-9.5999999999999961,1.4881331049439674E-3]
[null,null,null,null,null,-9.1999999999999957,1.9788628957449973E-3]
[null,null,null,null,null,-8.7999999999999954,2.605233703605657E-3]
[null,null,null,null,null,-8.399999999999995,3.3957423084214153E-3]
[null,null,null,null,null,-7.9999999999999947,4.3820751233921498E-3]
[null,null,null,null,null,-7.5999999999999943,5.5986325737107422E-3]
[null,null,null,null,null,-7.199999999999994,7.0817594354003191E-3]
[null,null,null,null,null,-6.7999999999999936,8.8686482115578925E-3]
[null,null,null,null,null,-6.3999999999999932,1.0995898995106838E-2]
[null,null,null,null,null,-5.9999999999999929,1.3497741628297063E-2]
[null,null,null,null,null,-5.5999999999999925,1.6403953693669208E-2]
[null,null,null,null,null,-5.1999999999999922,1.9737539575223607E-2]
[null,null,null,null,null,-4.7999999999999918,2.3512269344221813E-2]
[null,null,null,null,null,-4.3999999999999915,2.773020866986398E-2]
[null,null,null,null,null,-3.9999999999999916,3.237939891647304E-2]
[null,null,null,null,null,-3.5999999999999917,3.7431866408936323E-2]
[null,null,null,null,null,-3.1999999999999917,4.284214801195195E-2]
[null,null,null,null,null,-2.7999999999999918,4.8546513745803356E-2]
[null,null,null,null,null,-2.3999999999999919,5.446304425813777E-2]
[null,null,null,null,null,-1.999999999999992,6.0492681129785966E-2]
[null,null,null,null,null,-1.5999999999999921,6.6521312474688829E-2]
[null,null,null,null,null,-1.1999999999999922,{"$f":"NORMDIST(F43,Mu,Sigma,FALSE)","v":7.2422888190370807E-2}]
[null,null,null,null,null,{"$f":"F43+Sigma/10","v":-0.79999999999999216},7.8063483341690429E-2]
[null,null,null,null,null,-0.39999999999999214,8.3306150722950015E-2]
[null,null,null,null,null,7.8825834748386114E-15,8.8016331691074964E-2]
[null,null,null,null,null,0.4000000000000079,9.2067535075830903E-2]
[null,null,null,null,null,0.80000000000000793,9.534695386513109E-2]
[null,null,null,null,null,1.2000000000000079,9.7760673493864012E-2]
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[null,null,null,null,null,2.8000000000000078,9.7760673493863942E-2]
[null,null,null,null,null,3.2000000000000077,9.5346953865130979E-2]
[null,null,null,null,null,3.6000000000000076,9.2067535075830764E-2]
[null,null,null,null,null,4.000000000000008,8.8016331691074798E-2]
[null,null,null,null,null,4.4000000000000083,8.3306150722949807E-2]
[null,null,null,null,null,4.8000000000000087,7.8063483341690207E-2]
[null,null,null,null,null,5.2000000000000091,7.2422888190370557E-2]
[null,null,null,null,null,5.6000000000000094,6.6521312474688565E-2]
[null,null,null,null,null,6.0000000000000098,6.0492681129785696E-2]
[null,null,null,null,null,6.4000000000000101,5.4463044258137493E-2]
[null,null,null,null,null,6.8000000000000105,4.8546513745803078E-2]
[null,null,null,null,null,7.2000000000000108,4.2842148011951693E-2]
[null,null,null,null,null,7.6000000000000112,3.7431866408936067E-2]
[null,null,null,null,null,8.0000000000000107,3.2379398916472804E-2]
[null,null,null,null,null,8.400000000000011,2.7730208669863771E-2]
[null,null,null,null,null,8.8000000000000114,2.3512269344221619E-2]
[null,null,null,null,null,9.2000000000000117,1.9737539575223437E-2]
[null,null,null,null,null,9.6000000000000121,1.6403953693669055E-2]
[null,null,null,null,null,10.000000000000012,1.3497741628296929E-2]
[null,null,null,null,null,10.400000000000013,1.0995898995106725E-2]
[null,null,null,null,null,10.800000000000013,8.8686482115577971E-3]
[null,null,null,null,null,11.200000000000014,7.0817594354002401E-3]
[null,null,null,null,null,11.600000000000014,{"$f":"NORMDIST(F75,Mu,Sigma,FALSE)","v":5.598632573710678E-3}]
[null,null,null,null,null,{"$f":"F75+Sigma/10","v":12.000000000000014},4.3820751233920952E-3]
[null,null,null,null,null,12.400000000000015,3.3957423084213715E-3]
[null,null,null,null,null,12.800000000000015,2.6052337036056219E-3]
[null,null,null,null,null,13.200000000000015,1.97886289574497E-3]
[null,null,null,null,null,13.600000000000016,1.4881331049439463E-3]
[null,null,null,null,null,14.000000000000016,1.1079621029844882E-3]
[null,null,null,null,null,14.400000000000016,8.1670476404996958E-4]
[null,null,null,null,null,14.800000000000017,5.9602205036620262E-4]
[null,null,null,null,null,15.200000000000017,4.306422347634138E-4]
[null,null,null,null,null,15.600000000000017,3.0805479211825032E-4]
[null,null,null,null,null,16.000000000000018,2.1817067376143651E-4]
[null,null,null,null,null,16.400000000000016,1.5297548252844081E-4]
[null,null,null,null,null,16.800000000000015,1.0619506763768645E-4]
[null,null,null,null,null,17.200000000000014,7.2986731447864092E-5]
[null,null,null,null,null,17.600000000000012,4.9663867848192563E-5]
[null,null,null,null,null,18.000000000000011,3.3457556441220983E-5]
[null,null,null,null,null,18.400000000000009,2.2315414294282995E-5]
[null,null,null,null,null,18.800000000000008,1.4735766939134857E-5]
[null,null,null,null,null,19.200000000000006,9.6337991855217129E-6]
[null,null,null,null,null,19.600000000000005,6.235617822513361E-6]
[null,null,null,null,null,20.000000000000004,3.9959352767263551E-6]

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[null,null,"EE","Effective EE","EPE","Effective EPE"]
[null,0,0.11,{"$f":"C12","v":0.11},{"$f":"AVERAGE(C12:C36)","v":0.30543999999999999},{"$f":"AVERAGE(D12:D36)","v":0.75840000000000007}]
[null,{"$f":"B12+1/24","v":4.1666666666666664E-2},0.21,{"$f":"IF(B13<=1,MAX(C13,D12),C13)","v":0.21},{"$f":"E12","v":0.30543999999999999},{"$f":"F12","v":0.75840000000000007}]
[null,{"$f":"B13+1/24","v":8.3333333333333329E-2},0.28999999999999998,{"$f":"IF(B14<=1,MAX(C14,D13),C14)","v":0.28999999999999998},{"$f":"E13","v":0.30543999999999999},{"$f":"F13","v":0.75840000000000007}]
[null,0.125,0.4,0.4,0.30543999999999999,0.75840000000000007]
[null,0.16666666666666666,0.62,0.62,0.30543999999999999,0.75840000000000007]
[null,0.20833333333333331,0.45,0.62,0.30543999999999999,0.75840000000000007]
[null,0.24999999999999997,0.35,0.62,0.30543999999999999,0.75840000000000007]
[null,0.29166666666666663,0.38,0.62,0.30543999999999999,0.75840000000000007]
[null,0.33333333333333331,0.55000000000000004,0.62,0.30543999999999999,0.75840000000000007]
[null,0.375,0.75,0.75,0.30543999999999999,0.75840000000000007]
[null,0.41666666666666669,0.94,0.94,0.30543999999999999,0.75840000000000007]
[null,0.45833333333333337,0.52,0.94,0.30543999999999999,0.75840000000000007]
[null,0.5,0.4,0.94,0.30543999999999999,0.75840000000000007]
[null,0.54166666666666663,0.35,0.94,0.30543999999999999,0.75840000000000007]
[null,0.58333333333333326,0.3,0.94,0.30543999999999999,0.75840000000000007]
[null,0.62499999999999989,0.25,0.94,0.30543999999999999,0.75840000000000007]
[null,0.66666666666666652,0.22,0.94,0.30543999999999999,0.75840000000000007]
[null,0.70833333333333315,0.2,0.94,0.30543999999999999,0.75840000000000007]
[null,0.74999999999999978,0.15599999999999997,0.94,0.30543999999999999,0.75840000000000007]
[null,0.79166666666666641,0.1,0.94,0.30543999999999999,0.75840000000000007]
[null,0.83333333333333304,0.05,0.94,0.30543999999999999,0.75840000000000007]
[null,0.87499999999999967,0.03,0.94,0.30543999999999999,0.75840000000000007]
[null,0.9166666666666663,9.9999999999999811E-3,0.94,0.30543999999999999,0.75840000000000007]
[null,0.95833333333333293,0,0.94,0.30543999999999999,0.75840000000000007]
[null,0.99999999999999956,0,0.94,0.30543999999999999,0.75840000000000007]

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[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters"]
[null,"IR Vol",8.0000000000000002E-3]
[null,"FX Vol",0.08]
[null,"Correlation",0.2]
[null,"Confidence level",0.97499999999999998]
[]
[null,null,"IRS","FX Forward","CCS"]
[null,0,{"$f":"NORMSINV(ConfLevel)*SQRT(B16)*(10-B16)*IRVol","v":0},{"$f":"NORMSINV(ConfLevel)*FXVol*SQRT(B16)","v":0},{"$f":"SQRT(C16^2+D16^2+2*IRFXCorr*C16*D16)","v":0}]
[null,0.05,3.4885597114947937E-2,3.5060901623063252E-2,5.4180438389627182E-2]
[null,0.1,4.9087766558521269E-2,4.9583602584364915E-2,7.6431157223117052E-2]
[null,0.2,6.8719367181203986E-2,7.0121803246126505E-2,0.10754956575526048]
[null,0.3,8.3304879331470807E-2,8.5881318898423514E-2,0.13106119570348776]
[null,0.4,9.5200516961980647E-2,9.916720516872983E-2,0.1505774906481725]
[null,{"$f":"B21+0.2","v":0.60000000000000009},0.11416725438420099,0.12145452594063935,0.18257002971124067]
[null,0.8,0.12902411797287275,0.14024360649225301,0.20869455007793264]
[null,1,0.14111740688688387,0.15679711876320429,0.23097657911961547]
[null,1.2,0.1511511212612254,0.17176263779684703,0.25046738573907823]
[null,1.4,0.15955137347048112,0.18552485287265247,0.26779919687189607]
[null,1.5999999999999999,0.16660090468346614,0.19833441033745966,0.28338926698463762]
[null,1.7999999999999998,0.17249963598547119,0.21036540973837953,0.29753136418038073]
[null,1.9999999999999998,0.17739568951675869,0.22174461189594838,0.31044245665432774]
[null,2.1999999999999997,0.18140281457261101,0.23256771099052689,0.32228883981794154]
[null,2.4,0.18461087942977178,0.2429090518812787,0.33320180936693222]
[null,2.6,0.18709254027761071,0.25282775713190636,0.34328758838280082]
[null,2.8000000000000003,0.1889076694246403,0.26237176308977822,0.35263389648406951]
[null,3.0000000000000004,0.19010640332479681,0.27158057617828119,0.36131445661981076]
[null,3.2000000000000006,0.19073130482946407,0.28048721298450607,0.3693921820206425]
[null,3.4000000000000008,0.1908189369520889,0.28911960144255899,0.37692148869166608]
[null,3.600000000000001,0.19040103392396127,0.29750161550618953,0.3839500110986806]
[null,3.8000000000000012,0.18950538953499885,0.30565385408870788,0.39051989994733238]
[null,4.0000000000000009,0.18815654251584513,0.31359423752640858,0.39666882067491932]
[null,{"$f":"B39+0.2","v":4.2000000000000011},0.18637631332046142,0.32133847124217491,0.40243073330257062]
[null,4.4000000000000012,0.18418423018960689,0.32890041105286955,0.40783650970555824]
[null,4.6000000000000014,0.18159787141882508,0.33629235447930578,0.41291442804076239]
[null,4.8000000000000016,0.1786331433087209,0.34352527559369411,0.41769057300134987]
[null,5.0000000000000018,0.17530450811531623,0.35060901623063262,0.42218916291184855]
[null,5.200000000000002,0.17162517267855018,0.35755244308031303,0.42643281928547805]
[null,5.4000000000000021,0.16760724579808225,0.36436357782191808,0.43044279060794421]
[null,5.6000000000000023,0.16326187052793409,0.37104970574530499,0.43423913931091535]
[null,5.8000000000000025,{"$f":"NORMSINV(ConfLevel)*SQRT(B48)*(10-B48)*IRVol","v":0.15859933616261715},{"$f":"NORMSINV(ConfLevel)*FXVol*SQRT(B48)","v":0.37761746705385058},{"$f":"SQRT(C48^2+D48^2+2*IRFXCorr*C48*D48)","v":0.43784089883729299}]
[null,6.0000000000000027,0.15362917364336981,0.3840729341084248,0.44126620616510365]
[null,6.2000000000000028,0.14836023732504139,0.39042167717116183,0.44453241400044968]
[null,6.400000000000003,0.14280077544297087,0.39666882067491938,0.44765618597012152]
[null,6.6000000000000032,0.13695849115609962,0.40281909163558749,0.45065357746897733]
[null,6.8000000000000034,0.13084059568255052,0.40887686150797076,0.45354010429440395]
[null,7.0000000000000036,0.1244538547616693,0.41484618253889816,0.45633080079278793]
[null,7.2000000000000037,0.1178046294534924,0.42073081947675911,0.45904026892366362]
[null,7.4000000000000039,0.1108989121090453,0.4265342773424825,0.46168271939595396]
[null,7.6000000000000041,0.10374235820252571,0.4322598258438578,0.46427200583244882]
[null,7.8000000000000043,9.6340314601552041E-2,0.43791052091614646,0.46682165276209414]
[null,8.0000000000000036,8.8697844758379218E-2,0.44348922379189692,0.46934487811617148]
[null,8.2000000000000028,8.0819751228798489E-2,0.44899861793777013,0.47185461080743346]
[null,8.4000000000000021,7.2710595862867183E-2,0.45444122414292049,0.47436350389556986]
[null,8.6000000000000014,6.4374717959954433E-2,0.45981941399967508,0.4768839437839405]
[null,8.8000000000000007,5.5816250637726425E-2,0.4651354219810539,0.47942805584806802]
[null,9,4.7039135628961289E-2,0.47039135628961287,0.48200770686326228]
[null,9.1999999999999993,3.8047136690161194E-2,0.47558920862701454,0.48463450457472462]
[null,9.3999999999999986,2.8843851780763513E-2,0.48073086301272405,0.48731979473665965]
[null,9.5999999999999979,1.9432724150502394E-2,0.4858181037625573,0.49007465593565602]
[null,9.7999999999999972,9.8170524544578495E-3,0.49085262272288549,0.49290989250643008]
[null,9.9999999999999964,1.7615634314568108E-16,0.49583602584364905,0.49583602584364905]
[null,10.199999999999996,-1.0015396783251307E-2,0.50076983916257611,0.49886328441078831]

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[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters",null,null,"Credit curve"]
[null,"Initial spread",500,null,"1Y",200]
[null,"Recovery rate",0.4,null,"2Y",250]
[null,"Interest rate",0.05,null,"3Y",300]
[null,"Spread volatility",0.75,null,"4Y",350]
[null,"Confidence level",0.99,null,"5Y",400]
[]
[]
[]
[null,null,"Def Prob","Duration","dSpread","EE","PFE"]
[null,0,null,null,null,0,0]
[null,0.05,{"$f":"EXP(-B17*$F$10/(1-Rec)/10000)-EXP(-B20*$F$10/(1-Rec)/10000)","v":1.6652785490612887E-3},{"$f":"(1-EXP(-(CDSSpread/(1-Rec)/10000+IRate)*(5-B20)))/(CDSSpread/(1-Rec)/10000+IRate)","v":3.6236149913122553},{"$f":"CDSSpread*SpreadVol*SQRT(B20)","v":83.852549156242105},{"$f":"C20*(1-Rec)+(1-C20)*E20*D20/SQRT(2*PI())/10000","v":1.3100816322526474E-2},{"$f":"IF(C20>(1-ConfLevel1),(1-Rec),E20*D20/10000*NORMSINV(ConfLevel1))","v":7.0685929913069157E-2}]
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{"sheet":"Spreadsheet7.5","index":4,"n_rows":17,"n_cols":7,"rows_kept":17,"cut":false,"hidden":false,"merged":[[9,2,9,3],[9,4,9,5]]}
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,"Future value",null,"Total exposure"]
[null,null,"Trade 1","Trade 2","No netting","Netting","Netting benefit"]
[null,"Scenario 1",25,-15,{"$f":"MAX(C12,0)+MAX(D12,0)","v":25},{"$f":"MAX(C12+D12,0)","v":10},{"$f":"E12-F12","v":14.99}]
[null,"Scenario 2",15,-5,{"$f":"MAX(C13,0)+MAX(D13,0)","v":15},{"$f":"MAX(C13+D13,0)","v":10},{"$f":"E13-F13","v":5}]
[null,"Scenario 3",5,5,10,{"$f":"MAX(C14+D14,0)","v":10},0]
[null,"Scenario 4",-5,15,15,10,5]
[null,"Scenario 5",-15,25,25,10,15]
[null,"EE",null,null,{"$f":"AVERAGE(E12:E16)","v":18},{"$f":"AVERAGE(F12:F16)","v":10.001999999999999},{"$f":"AVERAGE(G12:G16)","v":7.9980000000000002}]