PrevioRisk

Category: Definitions

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 Latex formula that reflect Latex formula trade contribution to the overall risk for each period Latex formula and sum up to the counterparty level Latex formula.

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