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Expected Exposure and Potential Euture Exposure

Posted by 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  •