Questions tagged [exposure]
The exposure is the total amount of money an investor can loose after arising of negative event.
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Margin period of risk and scaling (MPoR)
I'm analyzing the formula to approximate the Margin Period of Risk (MPoR) for linearly linearly decreasing to zero exposure.
Given the MPoR at $\tau$ one can evaluate the continious total exposure at
$...
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Estimate the off balance sheet exposures of a banking book, based on limited data
I am doing an analysis on Off Balance sheet items on a bank. Only data I have is authorized amount and outstanding balance for all the loans the bank currently has.
Can I simply take the difference ...
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Open Source library for calculating exposures?
I would like to know an open source quantitative library/ies that can calculate exposures out of the box (I have investigated a bit on OpenGamma/Strata libraries with no luck and the website of ...
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Does delta adjusted exposure make sense for an equity variance swap?
The software vendor that I am using for the calculation of the market risk exposure claim that they cannot compute the delta adjusted of the equity variance swap positions since there is no specific ...
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PFE "convergence"
I'm studying Counterparty Credit Risk. I was reading about Potential Future Exposure (PFE) and I've seen a lot of examples and graphs about how the PFE behaves (as the time horizon increases) for ...
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Exposure of IR swap with Least Square Monte Carlo (Longstaff)
Hey how to calculate Expected positive exposure in the case of interest rate swap? Assume that I simulate M
interest rate paths for time grid 0=t0≤t1≤...≤tN=T.
What is the procedure now to calculate ...
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Market Risk - credit v. equity
I am requesting language for the use of derivatives in a portfolio. The goal is to allow the use of derivatives only in instances where the portfolio aggregate market risk exposure (post ...
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