Credit Exposure Metrics (EE, PFE, EPE, ENE, EEE, EEPE) Explained
1. Context
In this video from FRM Part 2 curriculum, we try and understand various metrics used to quantify credit exposure. This topic appears in Book 2 (Credit Risk) in the chapter on Future Value and Exposure. The metrics are Current Exposure (CE), Potential Future Exposure (PFE), Expected Positive Exposure (EPE), Expected Negative Exposure (ENE), Maximum PFE, Average EPE, Expected Exposure (EE), Effective Expected Exposure (EEE), Expected Effective Positive Exposure (EEPE). For more information about the FRM Part 2 preparation course, please visit the course page.
| Area | Credit Risk |
| Reading | Future Value and Exposure |
| Reference | Jon Gregory, Chapter 11, Future Value and Exposure, The xVA Challenge, Counterparty Credit Risk, Funding, Collateral and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). |