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Potential Future Exposure

Tereza

Member
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Thread starter #1
Hello,

Could you please advise if I can find somewhere graphs depicting potential future exposure vs. time for various instruments. Something like those attached (but correct).

1555596401134.png

Thank you,
Tereza
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
#2
Hi @Tereza (cc @Nicole Seaman) These are credit exposure profiles (typically PFE on y-axis and always Time on x-axis). Examples are found in Jon Gregory's xVA (i.e., the 3rd edition and currently assigned) in Chapter 7 (Credit Exposure and Funding); or in his Counterparty Credit Risk and DVA (i.e., the 2nd edition, previously assigned) in Chapter 8. That is, Chapter 7 (3rd ed) or Chapter 8 (2nd ed). Thanks,
 
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