SIMULATION INPUTS
CVA OUTPUTS
CVA
—
credit valuation adjustment
CVA (basis points)
—
loaded into quoted rate
PEAK EPE
—
95th pct positive exposure
PEAK EE
—
expected exposure (CVA driver)
EE — Expected Exposure. Avg of positive MTM across paths. Drives CVA pricing (Q measure).
ENE — Expected Negative Exposure. Avg of negative MTM. Drives DVA.
EPE — 95th percentile positive exposure. Credit limit utilisation (real-world P measure).
CVA FORMULA
CVA = −(1−R)
× Σ EE(t)
× PD(t) × df(t)
× Σ EE(t)
× PD(t) × df(t)
PD(t) from CDS via hazard rate:
λ = CDS / (1−R)
PD(t) = 1 − e−λt
λ = CDS / (1−R)
PD(t) = 1 − e−λt
SIMULATED SOFR RATE PATHS
500 paths shown (60 visible)
EXPOSURE PROFILES — EE · ENE · EPE
derived from all 500 paths · hover for values