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Expected Exposure and Potential Euture Exposure

Input:

Analytical solutions for a normal distribution follow Counterparty credit risk and credit value adjustment by Jon Gregory

Keywords: Expected Exposure (EE), Potential Euture Exposure (PFE), Basel III, Counterparty Risk

• July 7, 2013 •

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Output:
Expected Exposure (EE):

Potential Euture Exposure (PFE):

Mean
Standard Deviation
Confidence Level