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

#### Nicole Seaman

Staff member
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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 illustrated below:

What is the expected exposure (EE) of this position?

a. Zero
b. 1.75
c. 3.50
d. 5.25

908.2. Suppose future value is defined by a normal distribution with mean, µ= $3.0 million, and standard deviation, σ =$5.0 million. Each of the following statements is true EXCEPT which is false?