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credit-exposure

  1. Nicole Seaman

    P2.T6.910. Credit exposure profiles (Gregory Ch.7)

    Learning objectives: Identify factors that affect the calculation of the credit exposure profile and summarize the impact of collateral on exposure. Identify typical credit exposure profiles for various derivative contracts and combination profiles. Questions: 910.1. Consider credit exposure...
  2. Nicole Seaman

    P2.T6.909. Credit exposure metrics continued (expected positive exposure and effective exposure) (Gregory Ch.7)

    Learning objectives: Describe and calculate the following metrics for credit exposure: ... expected positive exposure and negative exposure, effective exposure, and maximum exposure. Compare the characterization of credit exposure to VaR methods and describe additional considerations used in the...
  3. Nicole Seaman

    P2.T6.908. Credit exposure metrics (expected exposure and potential future exposure) (Gregory Ch.7)

    Learning objective: Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure .... Questions: 908.1. The probability distribution of the expected future value (EFV) of a position in a derivative contract is...
  4. Nicole Seaman

    P2.T6.904. Trade compression and termination events (Gregory Ch.5)

    Learning objectives: Describe the effectiveness of netting in reducing credit exposure under various scenarios. Describe the mechanics of termination provisions and trade compressions and explain their advantages and disadvantages. Identify and describe termination events and discuss their...
  5. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...
  6. J

    Credit exposure

    Hi @David Harper CFA FRM Gregory, Chapter 7: Credit Exposure and Funding In the below table, You have explained the impact of collateral on the exposure amount. E.g Future value is 25 in scenario 1 with no collateral it means we have receivable of 25 from counterparty but if we have posted...
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