Kenyon, Chris;
Berrahoui, Mourad;
Poncet, Benjamin;
(2019)
Counterparty trading limits revisited: from PFE to PFL. The potential future loss is proposed as a replacement for PFE.
Risk.net
pp. 1-6.
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Abstract
The potential future exposure (PFE) for counterparty trading limits is challenged by new market developments, notably widespread regulatory initial margin, and netting of trade and collateral flows. However, Chris Kenyon, Mourad Berrahoui and Benjamin Poncet believe PFE already has many issues, such as comparability across counterparties. The authors introduce potential future loss (PFL), which combines expected shortfall and loss given default as a replacement for PFE, and provide extensions to cover the main issues with PFE.
| Type: | Article |
|---|---|
| Title: | Counterparty trading limits revisited: from PFE to PFL. The potential future loss is proposed as a replacement for PFE |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://www.risk.net/derivatives/6295836/counterpa... |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher's terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10140252 |
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