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Monthly Archives: July 2017

CedarThespianSociety-Frame

Of sunshine, sparks and dreams.

Of sunshine, sparks and dreams. It was a small room that could fit four rows of chairs length wise, three across. A makeshift stage had been set in the front by pushing the furniture aside.  A class room, you thought automatically. Whiteboard, projector, sitting tables.

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TARF PSR PFE Model in Excel – Part II

TARF PSR PFE Model in Excel – Part II This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for FX derivatives. We extend the model we used to calculate the PSR & PFE risk measures

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TARF PSR PFE Exposure calculation model

TARF PSR PFE Exposure calculation model Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) are calculated to assess counterparty credit risk for derivative transactions. PSR calculates the risk of a counterparty default at a static point in time while PFEs assess the risk over the

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