credit risk management solutions for the global energy markets
click one of the links below to read more about measuring PFE with energycredit.
Typical questions that can be answered by PFE measurements are:
- What is the maximum exposure for counterparty ABC for a user defined time period (with 95% confidence or user defined confidence interval)?
- When will the maximum exposure occur for counterparty ABC over the lifetime of the existing transactions?
- How will the exposure change if we put an ISDA agreement in place? Or a Master Netting Agreement in place?
- How will a new deal affect the overall exposure?
- Will I potentially have to post margin to a Counterparty?
energycredit Analytics supports pre-deal checks against a counterparty’s remaining credit limit. A user can insert the key elements of a proposed transaction (price, volume, term, location) to generate the PFE in a timely fashion. The exposure of the new deal is then added to the overall PFE according to the netting rules. In case the new transaction results in a counterparty exceeding its credit limit or exceeding a user defined volume threshold of the existing transactions, a full PFE calculation with the new deal can be carried out at the risk manager’s discretion.