Expected Exposure and Potential Euture Exposure

Posted by Szu-Yu (Gary) Pai

Input:

Mean
Standard Deviation
Confidence Level
Output:
Expected Exposure (EE):
Potential Euture Exposure (PFE):

Analytical solutions for a normal distribution follow Counterparty credit risk and credit value adjustment by Jon Gregory

Keywords: Expected Exposure (EE), Potential Euture Exposure (PFE), Basel III, Counterparty Risk

 •  July 7, 2013  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, calibration methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, calibration and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net


Copyright 2012-2024 Szu-Yu Pai