Gregory, Chapter 7: Credit Exposure and Funding is a 48 minute instructional video analyzing the following concepts:
* Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure, expected positive exposure and negative exposure, effective exposure, and maximum exposure.
* Compare the characterization of credit exposure to VaR methods and describe additional considerations used in the determination of credit exposure.
* Identify factors that affect the calculation of the credit exposure profile and summarize the impact of collateral on exposure.
* Identify typical credit exposure profiles for various derivative contracts and combination profiles.
* Explain how payment frequencies and exercise dates affect the exposure profile of various securities.
* Explain the impact of netting on exposure, the benefit of correlation, and calculate the netting factor.
* Explain the impact of collateralization on exposure, and assess the risk associated with the remargining period, threshold, and minimum transfer amount.