Credit Exposure Metrics (EFV, EE, PFE) for Interest Rate Swap | FRM Part 2
In this video from the FRM Part 2 curriculum, we explore how the time profiles for:
1. Expected Future Value (EFV)
2. Expected Exposure (EE)
3. Potential Future Exposure (PFE)
look like for an Interest Rate Swap.
Chapters:
00:00 Example Case and Future Value
04:58 Time Profile for Expected Future Value (EFV)
09:41 Exposure and Expected Exposure
13:11 Time Profile for Expected Exposure (EE)
21:49 Time Profile for Potential Future Exposure (PFE)
For more videos on FRM Part 2 preparation, browse over to the course page: https://www.finRGB.com/courses/frm-pa...
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