CalcPFE

Calculates the Projected Future Exposure (PFE) after applying the relevant multiplier.
The purpose of this multiplier is to lessen the risk stemming from the addons in case of excess collateral

Computes the Exposure-At-Default based on  the standardized approach
of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology.
Multiple trade types of all the five major asset classes are being supported including the Other Exposure and, given the inheritance-
based structure of the application, the addition of further trade types
is straightforward. The application returns a list of trees per Counterparty and CSA after
automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the
netting sets and the risk factors. The basis and volatility transactions are
also identified and treated in specific hedging sets whereby the corresponding
penalty factors are applied. All the examples appearing on the
regulatory papers (both for the margined and the unmargined workflow) have been
implemented including the latest CRR2 developments.

Tasos Grivas

SACCR

SA Counterparty Credit Risk under CRR2

CalcPFE function

<dl><dt>V_C</dt>
<dd>the difference between the sum of the MtMs and the collateral</dd>
<dt>V</dt>
<dd>the sum of MVs of the trades</dd>
<dt>Addon_Aggregate</dt>
<dd>the aggregate amount of the Addon</dd>
<dt>simplified</dt>
<dd>(optional) When TRUE, the multiplier will be set to 1 as per the simplified &amp; OEM approach</dd></dl>

Arguments

Tasos Grivas &lt;info@openriskcalculator.com&gt;

Author

Calculates the PFE — CalcPFE

<dl>

<dt>V_C</dt>
<dd>the difference between the sum of the MtMs and the collateral</dd>


<dt>V</dt>
<dd>the sum of MVs of the trades</dd>


<dt>Addon_Aggregate</dt>
<dd>the aggregate amount of the Addon</dd>


<dt>simplified</dt>
<dd>(optional) When TRUE, the multiplier will be set to 1 as per the simplified &amp; OEM approach</dd>

</dl>

CalcPFE: Calculates the PFE

Description

Usage

Value

Arguments

Author

References