The counterparty exposure at a future date is the loss if the counterparty defaults then and nothing is recovered: , with the value of the contracts to the bank and the collateral it can keep.
Quantitative Finance · Glossaire
Quantitative Finance · Glossaire
The counterparty exposure at a future date is the loss if the counterparty defaults then and nothing is recovered: , with the value of the contracts to the bank and the collateral it can keep.