Credit Value Adjustment

We created a software package to valuate the Credit Value Adjustment (CVA) of a swap portfolio. Our client, active in banking and capital management in the Netherlands, wanted to evaluate its CVA position for the existing portfolio and see impact of new deals for a given counter party. The tool is specifically designed to consider the distribution of the exposure of a given counter party. This functionality allows for comparison between the regulatory value (BASEL III) and the economic value.

The tools was implemented on the Microsoft platform, using C#, Microsoft Visual Basic for Applications (VBA) and Excel.

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