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Environmental Monitoring and Assessment, 2022
The vast usage of synthetic plastics has led to the global problem of plastic pollution which in turn has positively impacted the concerns regarding microplastic pollution. The major factor responsible for the increased level of pollution is the smaller size of microplastics which helps in its transportation across the globe.
Pritam Bajirao Patil +2 more
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The vast usage of synthetic plastics has led to the global problem of plastic pollution which in turn has positively impacted the concerns regarding microplastic pollution. The major factor responsible for the increased level of pollution is the smaller size of microplastics which helps in its transportation across the globe.
Pritam Bajirao Patil +2 more
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Potential Future Exposure of Target Redemption Forwards
Wilmott, 2023We calculate the PFE of TARFs using both a smile aware Heston model and a smile unaware Garman-Kohlhagen (GK) model. Results show that the FX Heston model tends to produce significantly different PFEs than the GK model, highlighting the importance for a dealer's global simulation model to accurately capture 1) the distribution of the underlying
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Potential future exposure, modelling and accelerating on GPU and FPGA
Proceedings of the 8th Workshop on High Performance Computational Finance, 2015Counterparty Credit Risk is of top concern among financial institutions, as the over-the-counter derivative market has been growing rapidly for the last two decades. Potential Future Exposure (PFE) provides assessment of the safety of a bank's asset portfolio and its adequacy by evaluating whether it is resilient under severely stressing market ...
Grzegorz Kozikowski +2 more
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Potential future exposure calculations using the BGM model
Wilmott Journal, 2009AbstractWe investigate the use of the Brace–Gatarek–Musiela (BGM) model in potential future exposure (PFE) calculations for various exotic interest rate products. Monte Carlo simulation is required to generate PFE scenarios. If the pricing model is also implemented using Monte Carlo simulation, PFE calculations are exceptionally demanding, involving ...
Leslie Ng, Dave Peterson
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SSRN Electronic Journal, 2015
Developing analytic techniques for potential future exposure (PFE) of a general type transaction and applying it to credit value adjustment (CVA) and wrong way risk (WWR). The solutions provide a transparent and computationally friendly analytic formulas and good quality analytic estimates of CVA and WWR prior to conducting systematic simulations.
Mark Syrkin, Ali Shirazi
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Developing analytic techniques for potential future exposure (PFE) of a general type transaction and applying it to credit value adjustment (CVA) and wrong way risk (WWR). The solutions provide a transparent and computationally friendly analytic formulas and good quality analytic estimates of CVA and WWR prior to conducting systematic simulations.
Mark Syrkin, Ali Shirazi
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Potential Future Exposure of Target Redemption Forwards
SSRN Electronic Journal, 2022Steven Sivorot, Stefano Renzitti
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P25-18: Precision Farming – Visions for a potential future exposure assessment
Toxicology Letters, 2023A. Ochs, P. Kaur, A. Sagner, M. Faupel
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Fast Calculation of Potential Future Exposure and XVA Sensitivities Using Fourier Series Expansion
SSRN Electronic Journal, 2023Gijs Mast, Xiaoyu Shen, Fang Fang
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Potential Future Exposure in the Presence of Initial Margin
2019This dissertation considers the concept of potential future exposure, and how initial margin can be used to mitigate it. In addition to this, the cost of implementing initial margin is estimated, and some of the difficulties associated with it are addressed.
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