Measuring PFE

click one of the links below to read more about measuring PFE with energycredit.

• Scenario Generator
• Pricing Engine
• Netting Aggregator
• Pre-Deal Checker
• PFE Web Reports

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?

Scenario Generator

energycredit Analytics supports fully user-configurable future price scenario generation.

The user can choose to generate price, interest rate, and currency exchange rate scenarios using user-defined Monte Carlo simulations based on historical data, price patterns and trends.

Users can specify parameters such as correlation coefficients and volatility for the models.

Users can also apply uniform price shifts and customised price shifts (in order to meet the S&P liquidity adequacy test).

The user also has the option to bypass the scenario generator altogether and, instead, use their own scenarios generated through their own simulations.

energycredit Analytics provides a user-friendly interface to integrate the client generated price scenarios with our deal types.