Expected Exposure and Potential Future Exposure for Swap

Posted by Szu-Yu (Gary) Pai

Input:

Standard Deviation
Time to Maturity of Swap Years
The time of future swap value Years
Confidence Level
Output:
Expected Exposure (EE):
Potential Future Exposure (PFE):

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

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

 •  July 7, 2013  • 

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