Potential Future Exposure

[Tereza]

Hello,

Could you please advise if I can find somewhere graphs depicting potential future exposure vs. time for various instruments. Something like those attached (but correct).



Thank you,
Tereza

 

[David Harper CFA FRM]

Hi @Tereza (cc @Nicole Seaman) These are credit exposure profiles (typically PFE on y-axis and always Time on x-axis). Examples are found in Jon Gregory's xVA (i.e., the 3rd edition and currently assigned) in Chapter 7 (Credit Exposure and Funding); or in his Counterparty Credit Risk and DVA (i.e., the 2nd edition, previously assigned) in Chapter 8. That is, Chapter 7 (3rd ed) or Chapter 8 (2nd ed). Thanks,