CalcPFE {SACCR}R Documentation

Calculates the PFE

Description

Calculates the Projected Future Exposure (PFE) after applying the relevant multiplier. The purpose of this multiplier is to lessen the risk stemming from the addons in case of excess collateral

Usage

CalcPFE(V_C, Addon_Aggregate)

Arguments

V_C

the difference between the sum of the MtMs and the collateral

Addon_Aggregate

the aggregate amount of the Addon

Value

The Projected Future Exposure (PFE)

Author(s)

Project team <info@openriskcalculator.com>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm


[Package SACCR version 2.3 Index]