Credit Exposure Metrics EE, PFE, EPE, ENE, EEE, EEPE Explained (FRM Part 2, Book 2, Credit Risk)
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- Опубликовано: 29 сен 2024
- In this video from FRM Part 2 curriculum, we explain various metrics used to quantify credit exposure. This topic appears in Book 2 (Credit Risk) in the chapter on Future Value and Exposure. The metrics are Current Exposure (CE), Potential Future Exposure (PFE), Expected Positive Exposure (EPE), Expected Negative Exposure (ENE), Maximum PFE, Average EPE, Expected Exposure (EE), Effective Expected Exposure (EEE), Expected Effective Positive Exposure (EEPE). For more information about the FRM Part 2 preparation course, please visit the course page (www.finRGB.com....
*FRM Learning Objective* Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure, expected positive exposure and negative exposure, effective expected positive exposure, and maximum exposure.
both this one and the exposure using IR swap are amazing, helped a ton. Thanks.
Very well explained
One lecture for Monte cArlo sim to calculate var pzl
Thanks for the video, very helpful.
Can you explain what you mean by saying that average EPE goes into the calculation of CVA as a running spread, please?
Am unable to offer too detailed an explanation in this space here, but an approximate formula to calculate CVA as a running spread i.e. CVA expressed as an annual or per annum charge goes as:
CVA as running spread = - CDS Spread of Ctpty * avgEPE (%)
where avgEPE (%) is in percentage or per dollar terms.
Thanks a lot sir..... :)
Thank you for this very detailed and clear presentation of the Credit Exposured Metrics !
so good explanation. better than many a coaching institutions claiming to be number 1
Awesome, thank you so much !! So clear and well presented !!
Can someone explain PFE. I did not get it.
Great video, thank you very much.
Thanks a lot professor, very valuable information here as I am working to implement these metrics at my job.
Glad it was helpful, Saitom.
Extremely cleared explanation! Thank you!
That's very helpful. Thank you !
Very very well explained
Beautifully Explained.
Very clear and Precise - thank you so much!
Clear and concise! Great help
thanks,
awesome explanation
Glad you liked it.