expected-exposure
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P
Gregory CH:7 Exposure definitions EE and PFE
Hello, although feeling comfortable with the topic, there is this nagging uncertainty about EE and EPE. (1) Is EE an exposure number that the fin inst. has for EACH cp (ie the average of all exposure values with a particular cp) and is EPE an exposuure that a fin inst. has across ALLcps...- pascalb
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- expected-exposure expected-positive-credit-exposure
- Replies: 1
- Forum: P2.T6. Credit Risk (25%)
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P2.T6.908. Credit exposure metrics (expected exposure and potential future exposure) (Gregory Ch.7)
Learning objective: Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure .... Questions: 908.1. The probability distribution of the expected future value (EFV) of a position in a derivative contract is...- Nicole Seaman
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- credit-exposure expected-exposure mark-to-market potential-future-exposure
- Replies: 2
- Forum: FRM® Practice Questions
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P2.T6.707. Stress testing counterparty exposures
Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...- Nicole Seaman
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- counterparty-credit-risk counterparty-exposures current-exposure derivative-portfolio expected-exposure expected-positive-exposure loan-portfolio peak-exposure stress-testing stressed-expected-loss
- Replies: 0
- Forum: FRM® Practice Questions