expected-exposure

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...

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...

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...