This model evaluates CVA using a two process Monte Carlo simulation. The technique used is Euler discretisation of the Stochastic Differential Equations. All the calculation will be performed using VBA code.
Basically this is double simulator model which will assess how much default can occur on couterparty level with the fluctuations in currency rate. We are going to build, collaborate and test CVA model for foreign exchange forwards and options. this will be from bank’s perspective.
Please use my college’s online library for all the articles/journals.
Harvard referencing is mandatory.
