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Potential Future Exposure
Hi,to compute PFE I need to use only positive mark to market or all of them?I mean, at each t I need to calculate the alpha percentile using as distribution all the mark to market or only the positive one?
Potential Future Exposure
do your losses expose you if your counterparty were to default?
Last edited by tags on June 26th, 2014, 10:00 pm, edited 1 time in total.
Potential Future Exposure
in the end a matter of definition, but taking the whole (unconditional) distribution is much more intuitive imo