(English) White paper: Margining and Collateral as CCR Mitigation Tools
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(English) White paper: Netting in CCR
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(English) BCBS Publishes Finalized Margin Requirements for Non-Centrally Cleared Derivatives
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(English) White paper: Basel Capital Requirements for Portfolio of Derivatives
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(English) Basel III CVA Capital Decomposition
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(English) Using Sensitivities to Forecast Portfolio PV
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(English) What Is: N-Cap and N-Floor
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(English) PrevioRisk. A counterparty credit risk management system.
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(English) Risk Versus Uncertainty
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(English) Fake News — New Type of Financial Risk?
!–:–
(English) Ranking Risk Factors
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(English) What is Delta Equivalent?
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Computing Marginal Expected Exposure
Marginal Exposure represents the effect of each specific contract on aggregated Expected Exposure of the portfolio. If portfolio includes only one contract, then Marginal Exposure of the contract equals to portfolio exposure.
The aim is to find allocations of that reflect
trade contribution to the overall risk for each period
and sum up to the counterparty level
.