Lecture_7_CVA_201820180402201111

Introduction
Exposures
Exposures I
Counterparty exposure at any given future time is the larger between zero and
the market value of the portfolio of derivative positions with a counterparty that
would be lost if the counterparty were to default with zero recovery at that time.
Current exposure (CE) is the current value of the exposure to a counterparty.
Exposure at Default (EAD) is defined in terms of the exposure valued at the
(random future) default time of the counterparty.
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