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
4 mins read This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for
5 mins read Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) calculates the counterparty credit risk for derivative transactions. PSR calculates counterparty default
3 mins read Convergence between closed form and simulation model prices is enhanced with variance reduction procedures. It encourages model extension to complex
2 mins read Our new eight part series on TARF Pricing model guide is now live. The objective of the pricing model guide
4 mins read Our alternate EXCEL TARF Pricing model uses the Black Scholes close form solution to find a price. The TARF contract
5 mins read Our two part series on TARF pricing models begins where we stopped with our analysis on TARF hedge effectiveness. We