Creating Expected Exposure curves for XVA

[KevinR]

Hey Folks,

I'm having trouble trying to forecast my own expected exposure curves for some simple OTC derivatives, i.e Interest Rate Swap, Cross-currency swap, and swaptions. The context for this is to ultimately calculate CVA and FVA.

There's alot of resources on the web but I have yet to see a solid break-down or step-by-step guide to calculating the expected exposure. I understand it usually involves some short-term interest rate model and monte carlo sim. Alot of XVA explanation resources assume you already have this information via some third-party software or the bank's quants working their magic.

I would love some suggestions on resources and some direction on how I can create this on my own.

Thanks!
Kevin

 

[KevinR]

@Ken Abbott I saw your post on another recent thread on CVA in regards to the Canabarro and Duffie paper, it's actually quite clear on the EE part. Any more resources on EE?

Thanks!

 

[Ken Abbott]

@Ken Abbott I saw your post on another recent thread on CVA in regards to the Canabarro and Duffie paper, it's actually quite clear on the EE part. Any more resources on EE?

Thanks!

The BIS website (www.bis.org) ia the usual go-to website for the facts. I just found dozens of references. Thereafter, check the Big 4 audit/consulting + McK and OW.