CalcPFE {SACCR}

Calculates the PFE

Description

Calculates the Projected Future Exposure (PFE) after applying the relevant multiplier. The purpose of this multiplier is to lessen the risk stemming from the addons in case of excess collateral

Usage

CalcPFE(V_C, V = 0,Addon_Aggregate, simplified)

Arguments

V_C

the difference between the sum of the MtMs and the collateral

V

the sum of MVs of the trades

Addon_Aggregate

the aggregate amount of the Addon

simplified

(optional) When TRUE, the multiplier will be set to 1 as per the simplified & OEM approach

Value

The Projected Future Exposure (PFE)

Author(s)

Tasos Grivas <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj