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Credit Exposure Metrics EE, PFE, EPE, ENE, EEE, EEPE Explained (FRM Part 2, Book 2, Credit Risk)
Автор: finRGB
Загружено: 2021-04-01
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In this video from FRM Part 2 curriculum, we explain various metrics used to quantify credit exposure. This topic appears in Book 2 (Credit Risk) in the chapter on Future Value and Exposure. The metrics are Current Exposure (CE), Potential Future Exposure (PFE), Expected Positive Exposure (EPE), Expected Negative Exposure (ENE), Maximum PFE, Average EPE, Expected Exposure (EE), Effective Expected Exposure (EEE), Expected Effective Positive Exposure (EEPE). For more information about the FRM Part 2 preparation course, please visit the course page (https://www.finRGB.com/courses/frm-pa....
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