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The exposure is the total amount of money an investor can loose after arising of negative event.

1 vote

How to calculate the CVA of a forward contract?

The calculations are correct; I played a little with the parameters and it seems that the risk free rate is not 2%, but 2.5%. Given this input, the exposures are 125.23 and 167.01, as given in the ans …
SkorohodAlex's user avatar