Calculating PFE for IRS using HJM
6 mins read This post provides a step-by-step walkthrough for calculating PFE for IRS using HJM. Potential future credit exposure (PFE) measures counterparty
Pre-settlement Risk & PFE -Forward & TARF
4 mins read This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for
TARF PSR PFE calculation model
5 mins read Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) calculates the counterparty credit risk for derivative transactions. PSR calculates counterparty default
PFE calculation for a simple IRS
5 mins read When it comes to counterparty credit risk there are two credit exposure calculation methods that we frequently see in term