Liao, Jiali; Theodosopoulos, Theodore V. - Society for Computational Economics - SCE - 2005
paper studies the effect of mark-to-market (MTM) timing in collateral agreements on the contingent credit risk exposure. We … measure contingent credit risk exposure using Potential Future Exposure (PFE), the maximum amount of exposure expected to … agreement that can affect the contingent credit risk exposure include the frequency and timing of marking-to-market, trigger …