Potential Future Exposure. 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.
PFE calculation for a simple IRS
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. For example, bank a may have a 95%. Web potential future exposure, or pfe, uses the same basic modelling machinery as market risk var, and expresses results using the familiar. We will need the following items. Web potential future exposure (pfe) pfe is the credit exposure on a future date modeled with a specified confidence interval.
Web potential future exposure, or pfe, uses the same basic modelling machinery as market risk var, and expresses results using the familiar. 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. We will need the following items. 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, or pfe, uses the same basic modelling machinery as market risk var, and expresses results using the familiar.
