Tag: credit risk

Derivatives CVA calculation example Monte-Carlo with python

Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments

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how to value Credit Default Swap default leg and default probabilities

how to value CDS (credit default swap) default leg with following time structure: 0—-t1—–t2—-t3—–t4—–….—T Suppose that default (at time ) can only occur at discrete times t1,t2,t3,.. and Qi=survival probability until time then default leg of Credit Default Swap pays:

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Simple Derivatives CVA Calculation Example (credit valuation adjustment) excel

Here we show simplest method called current net exposure for more elaborated Monte-Carlo method using python see CVA with monte carlo calculation for online interest rate swaps and OTC derivatives valuation with CVA see Derivatives accounting calculators CVA calculation online

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