anonymous
/ Counterparty Credit Risk Metrics
Created
January 20, 2016 14:34
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| /* Expected exposure is the expected (average) credit exposure conditional on positive market values */ | |
| def expectedExposure(marketValues: Seq[Double]): Double = { | |
| val exposures = marketValues.filter(_ > 0f) | |
| if (exposures.size == 0) 0.0 | |
| else exposures.sum / exposures.size | |
| } | |
| /* A high percentile (95%) of the distribution of exposures at any particular future date. Also called Peak Exposure (PE) */ | |
| def potentialFutureExposure(marketValues: Seq[Double], confidenceLevel: Double): Double = { | |
| val exposures = marketValues.filter(_ > 0) |