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Expected Exposure and Potential Euture Exposure for Swap

Posted by 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 Euture Exposure (PFE):

Analytical solutions for a swap 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  •