mark-to-market
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P2.T6.908. Credit exposure metrics (expected exposure and potential future exposure) (Gregory Ch.7)
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...- Nicole Seaman
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- Forum: FRM® Practice Questions
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How to compute Delta of a future contract priced with MTM ?
Hi community, Let's assume a commodity future contract priced with MtM. This price moves on a daily basis. ($50, $51, $49, $48...) I'm trying to compute the delta of this contract at a certain date. I know that the price of such contract is : S*EXP([rate + storage - convenience - yield](T))...- youn
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- delta mark-to-market
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- Forum: P1.T3. Financial Markets & Products (30%)