Can anyone tell me how I can approach solving this? What risks do I need to understand and quantify?

A colleague has given this as an exercise to help me learn. Currently looking through the xVA Challenge and one of the Hull books but I'm new to this.

My understanding is that for a cross-currency swap there are two parties with a swap bank in the middle. How does the exposure to both parties work?


  • $\begingroup$ A cross-currency swap is like any other swap (interest rate, equity, etc.). The part of your question "there are two parties with a swap bank in the middle" makes me think you don't really understand of swaps which means tackling the specific risks and complexities of a cross-currency swap might be out of reach. Why not start with a simpler interest rate swap for example? $\endgroup$ – Attack68 Jan 25 at 8:59

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.