Counterparty risk |
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Introduced EAD System |
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Future prospects |
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Not able to fully reflect market conditions
Closed-MCS Method | FDM-MCS Method | LS-MCS Method | |
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Applicable Conditions | Price Formula | Price Formula not available, but able to use FDM | when two methods are not applicable |
Calculation Process |
01 Create Scenario
Replace negative numbers to zero after offsetting price |
01 Create Scenario
02 Price calculation using FDM
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01 Create Scenario
02 Price calculation for each scenario
Estimate future cash flow from each scenario and calculate price 03 MtF Calculation
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EAD system Output calculation process | Expected exposure method process |
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Enable MAR exchange when activating monthly operation
Enter the parameters that are the basis for scenario creation