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Assess credit risk for PPA counterparties using financial ratios and market indicators
Enter counterparty financial data
S&P or equivalent rating
Lower is better (healthy: < 3.0x)
Higher is better (healthy: > 3.0x)
Higher is better (healthy: > 1.2x)
Lower is better (healthy: < 1.0x)
5Y CDS spread (lower is better)
Annualized volatility
€20,000,000,000
Investment Grade
Probability of Default
0.25%
Annual
Loss Given Default
55%
Recovery: 45%
Expected Loss
0.14%
PD x LGD
Investment Grade
Yes
BBB- or better
CVA Calculator · Rating Table · Benchmarks below
Calculate the credit risk adjustment for PPA exposure
Mark-to-market exposure or expected positive exposure
Remaining PPA term
CVA
-€334,460
CVA %
0.67%
Cumulative PD
2.5%
LGD Used
55%
CVA Formula
CVA = Average Expected Exposure x Cumulative PD x LGD
Average EE assumed as 50% of max exposure (simplified)
Scoring Methodology