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expected-positive-exposure

  1. 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...
  2. Nicole Seaman

    P2.T6.707. Stress testing counterparty exposures

    Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...
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