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
the difference between the sum of the MtMs and the collateral
the aggregate amount of the Addon
The Projected Future Exposure (PFE)
Project team <[email protected]>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
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