I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure?
An intuitive question would be the following: A Foward has a Delta of 1 and given the above exposure profile and the Delta of an Option with the same underlying, can I deduce that the exposure profile of the Option equals Delta * Forward_Exposure?
However, after running some simulations I see that this is not the case, part of the reason being (I think) that for exposure generation one simulates values for all relevant risk parameters and not just the one which corresponds to the Delta/sensitivity.
If there are any questions on Definitions of terms I used, I am happy to clarify. Image taken from Jon Gregory's book on CVA.