CalcPFE {SACCR} | R Documentation |
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
CalcPFE(V_C, Addon_Aggregate)
V_C |
the difference between the sum of the MtMs and the collateral |
Addon_Aggregate |
the aggregate amount of the Addon |
The Projected Future Exposure (PFE)
Project team <info@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm