credit-exposure

Learning Objectives: Describe the differences between funding exposure and credit exposure. Describe and calculate the effective expected positive exposure. Explain the general impact of aggregation on exposure and the impact of aggregation on exposure when there is correlation between...

@David Harper CFA FRM , Can you please help me explain this? As I understand the it should be default of the counterparty increase funding cost when margin is not posted the party with positive exposure has to fund the amount of loss. Similarly in the second sentence.

Learning objectives: Explain the motivations for introducing the Basel regulations, including key risk exposures addressed and explain the reasons for revisions to Basel regulations over time. Explain the calculation of risk-weighted assets and the capital requirement per the original Basel I...

Learning objectives: 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. Questions: 910.1. Consider credit exposure...

Learning objectives: Describe and calculate the following metrics for credit 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...

Learning objective: Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure .... Questions: 908.1. The probability distribution of the expected future value (EFV) of a position in a derivative contract is...

Learning objectives: Describe the effectiveness of netting in reducing credit exposure under various scenarios. Describe the mechanics of termination provisions and trade compressions and explain their advantages and disadvantages. Identify and describe termination events and discuss their...

Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...

Hi @David Harper CFA FRM Gregory, Chapter 7: Credit Exposure and Funding In the below table, You have explained the impact of collateral on the exposure amount. E.g Future value is 25 in scenario 1 with no collateral it means we have receivable of 25 from counterparty but if we have posted...