Your EPE is basically a risk neutral valuation of the derivative position (stand alone and/or on a portfolio level). EPE is only really interesting when it comes to CVA charges and is a whole different ballgame in comparison to PFE exposures. As far as I know, you can also simply sum the simulated and non-simulated EPE profiles, but that is also an issue that is dependent on internal guidelines and methods. The problem with having non-simulated and simulated profiles is that you lose a lot of portfolio effects, so you have to either figure out some way to take that into account ("not bloody likely") or you use a conservative approach and sum the two results and calculate your charges on that figure.I don't know how much individual research you have done into the CVA/DVA/FVA topic, but I can pass on some ancillary articles that touch on all three subjects, just send me a PN and I'll send the links that I can still find. I can offer you this one upfront: UBS CVA PresentationCB
Last edited by Chargerbullit
on May 14th, 2014, 10:00 pm, edited 1 time in total.