exposureprofiles

Compute exposure profiles from credit exposures

Syntax

profilestructs = exposureprofiles(dates,exposures)

profilestructs = exposureprofiles(___,Name,Value)

Description

profilestructs = exposureprofiles(dates,exposures) computes common counterparty credit exposures profiles from an array of exposures.

profilestructs = exposureprofiles(___,Name,Value) adds optional name-value arguments.

Examples

View Exposure Profiles of a Particular Counterparty

After computing the mark-to-market contract values for a portfolio of swaps over many scenarios, view the exposure profiles of a particular counterparty.

First, load data (ccr.mat) containing the mark-to-market contract values for a portfolio of swaps over many scenarios.

load ccr.mat

Compute the exposure by counterparty.

[exposures, expcpty] = creditexposures(values,swaps.Counterparty,...
'NettingID',swaps.NettingID);

Compute the credit exposure profiles for all counterparties.

 cpProfiles = exposureprofiles(simulationDates,exposures)

cpProfiles = 5x1 struct array with fields:
    Dates
    EE
    PFE
    MPFE
    EffEE
    EPE
    EffEPE

Visualize the exposure profiles for a particular counterparty.

cpIdx = find(expcpty == 4);
numDates = numel(simulationDates);
plot(simulationDates,cpProfiles(cpIdx).PFE,...
        simulationDates,cpProfiles(cpIdx).MPFE * ones(numDates,1),...
        simulationDates,cpProfiles(cpIdx).EE,...
        simulationDates,cpProfiles(cpIdx).EPE * ones(numDates,1),...
        simulationDates,cpProfiles(cpIdx).EffEE,...
        simulationDates,cpProfiles(cpIdx).EffEPE * ones(numDates,1));
legend({'PFE (95%)','Max PFE','Exp Exposure (EE)',...
        'Time-Avg EE (EPE)','Max past EE (EffEE)',...
        'Time-Avg EffEE (EffEPE)'})
datetick('x','mmmyy','keeplimits')
title(sprintf('Counterparty %d Exposure Profiles',cpIdx));
ylabel('Exposure ($)')
xlabel('Simulation Dates')

Input Arguments

dates — Simulation dates

vector of date numbers | cell array of character vectors

Simulation dates, specified as vector of date numbers or a cell array of character vectors in a known date format. For more information for known date formats, see the function datenum.

Data Types: double | char | cell

exposures — 3-D array of potential losses due to counterparty default

array

3-D array of potential losses due to counterparty default on a set of instruments simulated over a series of simulation dates and across many scenarios, specified as a NumDates-by-NumCounterParties-by-NumScenarios “cube” of credit exposures. Each row represents a different simulation date, each column a different counterparty, and each “page” is a different scenario from a Monte-Carlo simulation.

Data Types: double

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: profilestructs = exposureprofiles(dates,exposures,'ProfileSpec','PFE','PFEProbabilityLevel',.9)

'ProfileSpec' — Exposure profiles

All (generate all profiles) (default) | character vector with possible values EE, PFE, MPE, EffEE, EPE, EffEPE, All | cell array of character vectors with possible values EE, PFE, MPE, EffEE, EPE, EffEPE

Exposure profiles, specified as a character vector or cell array of character vectors with the following possible values:

• EE — Expected Exposure. The mean of the distribution of exposures at each date. A [NumDates-by-1] vector.

• PFE — Potential Future Exposure. A high percentile (default 95%) of the distribution of possible exposures at each date. This is sometimes referred to as “Peak Exposure.” A [NumDates-by-1] vector.

• MPFE — Maximum Potential Future Exposure. The maximum potential future exposure (PFE) over all dates

• EffEE — Effective Expected Exposure. The maximum expected exposure (at a specific date) that occurs at that date or any prior date. This is the expected exposure, but constrained to be nondecreasing over time. A [NumDates-by-1] vector.

• EPE — Expected Positive Exposure. The weighted average over time of expected exposures. A scalar.

• EffEPE — Effective Expected Positive Exposure. The weighted average over time of the effective expected exposure (EffEE). A scalar.

• All — Generate all the previous profiles.

Note

Exposure profiles are computed on a per-counterparty basis.

Data Types: char | cell

'PFEProbabilityLevel' — Level for potential future exposure (PFE) and maximum potential future exposure (MPFE)

.95 (the 95th percentile) (default) | scalar with value [0..1]

Level for potential future exposure (PFE) and maximum potential future exposure (MPFE), specified as a scalar with value [0..1].

Data Types: double

Output Arguments

profilestructs — Structure of credit exposure profiles

array of structs holding credit exposure profiles for each counterparty

Structure of credit exposure profiles, returned as an array of structs holding credit exposure profiles for each counterparty, returned as a struct, with the fields of the struct as the (abbreviated) names of every exposure profile. Profiles listed in the ProfileSpec (and their related profiles) are populated, while those not requested contain empty ([]). profilestructs contains the dates information as a vector of MATLAB^® date numbers requested in the ProfileSpec argument.

References

[1] Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version. at https://www.bis.org/publ/bcbs128.htm, 2006.