Which measure for PFE? The Risk Appetite Measure, A

Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has been whether to use one of many historical ("physical") measures (one per calibration setup), or one of many risk...

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Hauptverfasser:	Kenyon, Chris, Green, Andrew, Berrahoui, Mourad
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Mathematical Finance Quantitative Finance - Portfolio Management Quantitative Finance - Pricing of Securities Quantitative Finance - Risk Management
Online-Zugang:	Volltext bestellen
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