Potential Future Exposure Calculations Using the BGM Model Wilmott
Potential Future Exposure. Web potential future exposure (pfe) is the maximum expected market risk exposure to a portfolio of derivative transactions at a chosen confidence level. Pfe measures the tail (near.
Potential Future Exposure Calculations Using the BGM Model Wilmott
Web potential future exposure (pfe) pfe is the credit exposure on a future date modeled with a specified confidence interval. For example, bank a may have a 95%. Web potential future exposure (pfe) is the maximum expected market risk exposure to a portfolio of derivative transactions at a chosen confidence level. We will need the following items. Web potential future exposure, or pfe, uses the same basic modelling machinery as market risk var, and expresses results using the familiar. Pfe measures the tail (near.
Web potential future exposure (pfe) is the maximum expected market risk exposure to a portfolio of derivative transactions at a chosen confidence level. Pfe measures the tail (near. Web potential future exposure (pfe) pfe is the credit exposure on a future date modeled with a specified confidence interval. Web potential future exposure (pfe) is the maximum expected market risk exposure to a portfolio of derivative transactions at a chosen confidence level. Web potential future exposure, or pfe, uses the same basic modelling machinery as market risk var, and expresses results using the familiar. For example, bank a may have a 95%. We will need the following items.
