option pricing - EPE for interest rate swap - Quantitative Finance ...
2021年5月12日 · There are two possibilities: 1. Closed-form formula. You have a closed-form formula giving you the swap price from your interest rates, which is the case. So, here the procedure is simple and you don't even need LSM: 2. LSM. You don't have any closed-form formula to price the swap.
Counterparty Credit Exposure for Swaps - FINCAD
2014年10月24日 · The Peak Exposure (PE) is the maximum amount of exposure expected to occur on a future date at a given level of confidence. For example, the 95%PE is the level of potential exposure that will not be exceeded with 95% confidence. The curve PE(t) is the peak exposure profile up to the final maturity of the portfolio.
Credit Exposure Metrics (EE, PFE, EPE, ENE, EEE, EEPE) Explained
In this video from FRM Part 2 curriculum, we try and understand various metrics used to quantify credit exposure. This topic appears in Book 2 (Credit Risk) in the chapter on Future Value and Exposure.
Future Value and Exposure | AnalystPrep - FRM Part 2
2023年6月27日 · Identify typical credit exposure profiles for various derivative contracts and combination profiles. Explain how payment frequencies and exercise dates affect the exposure profile of various securities.
APPENDIX 8A: Formulas for EE, PFE and EPE for a normal distribution Consider a normal distribution with mean (expected future value) and standard deviation (of the future value) . Let us calculate analytically the two different exposure metrics discussed. Under the normal distribution assumption, the future
Expected Positive Exposure (EPE) is the weighted average over time of expected exposures where the weights are the proportion that an individual expected exposure represents of the entire time interval.
IMM Approach for Managing Counterparty Credit Risk
2016年12月9日 · For example, the expected positive exposure profile (EPE) is obtained by computing the expectation of exposure at each simulation date, while a potential future exposure profile (PFE) is obtained by computing a high-level (e.g. 97.7% or 99%) percentile of exposure at each simulation date.
EPE model is calibrated using historic market data, the bank must employ current market data to compute current exposures and that alternatively, market implied data may be used to estimate parameters of the model.
Exposures - SpringerLink
2017年11月4日 · We show the Expected Exposure profiles for the initial trade, the resulting portfolio, for the portfolio if netting is allowed and for the increment of the exposures. Such analysis can help traders and risk managers to control and manage the exposure profile of a given Netting Set.
Disentangling wrong-way risk: pricing credit valuation adjustment …
2018年9月16日 · The deterministic function being integrated with respect to the survival probability is called the (discounted) expected positive exposure, also known under the acronym EPE: EPE ⊥ (t): = E B [V t + B t].
- 某些结果已被删除