PROCEDURE FOR BOOTSTRAPPING COUNTERPARTY CREDIT-ADJUSTMENT-FACTORS



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Credit value adjustment factors] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

  1. Select to enter time-varying or flat risk-free zero rates at possible default times.
  2. Select to enter time-varying or flat counterparty borrowing rates at possible default times.
  3. Enter the number of possible default times.
  4. Enter the time till next possible default in years.
  5. Enter the time period in years between successive possible default times.
  6. Click the submit button, and this will take you to the array populating page.

Array populating page

  1. Enter continuously compounded risk-free zero rates at possible default times.
  2. Enter continuously compounded counterparty borrowing rates at possible default times.
  3. Click the submit button, and this will take you to the Credit value adjustment factors valuation parameters page.

Credit value adjustment factors valuation parameters page

  1. Enter the name of reference entity.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the recovery rate assumption.
  4. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.