# Collateralised CVA

**URL:** <https://community.wolfram.com/t/collateralised-cva/4933>\
**Category:** Ideas\
**Tags:** economics, finance, graphics-and-visualization\
**Created:** [February 23, 2015, 11:47pm UTC](https://community.wolfram.com/t/collateralised-cva/4933 "2015-02-23T23:47:28Z")\
**Posts on this page:** 2\
**Page:** 1

<div class="post-metadata">

**Author:** ![ihcomm](https://yyz1.discourse-cdn.com/wolfram/user_avatar/community.wolfram.com/ihcomm/32/32969_2.png) [@ihcomm](https://community.wolfram.com/u/ihcomm)\
**Post date:** [February 23, 2015, 11:47pm UTC](https://community.wolfram.com/t/collateralised-cva/4933/1 "2015-02-23T23:47:28Z")

</div>

Collateralized trades CVA is yet another variation of this popular theme where we focus on scenarios with trade exposure bounded from above due to the existence of mitigating factor that brings it overall level down. Whilst the net effect of collateralisation is significant reduction of exposure, the presence of rate-sensitive collateral is not trivial and complicates the exposure calculation due to additional source of randomness. Nevertheless, we derive the exposure formula analytically - for both symmetric (same currency) and asymmetric collateralization with different transaction and collateral currencies.

 ![CollCVAimage.jpg](https://global.discourse-cdn.com/wolfram/original/2X/9/979e58b415c4da697c57c0a08b416478b0ca8bce.jpeg)

---

<div class="post-metadata">

**Author:** ![mkelly](https://yyz1.discourse-cdn.com/wolfram/user_avatar/community.wolfram.com/mkelly/32/21221_2.png) [@mkelly](https://community.wolfram.com/u/mkelly)\
**Post date:** [March 13, 2015, 8:25pm UTC](https://community.wolfram.com/t/collateralised-cva/4933/2 "2015-03-13T20:25:20Z")

</div>

Igor

Is it possible to get the notebook behind this and the other PDF files?

Thank you  
Michael