CalcPFE: Calculates the PFE

Description Usage Arguments Value Author(s) References

View source: R/CalcPFE.R

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

1
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 <[email protected]>

References

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


SACCR documentation built on May 1, 2019, 8 p.m.