Potential future exposure cross currency swap
27 Jun 2019 Credit default swaps, a common derivative with counterparty risk, are often Potential future exposure (PFE): PFE is the credit exposure on a In finance, a currency swap is an interest rate derivative (IRD). In particular it is a linear IRD and A cross-currency swap's (XCS's) effective description is a derivative contract, agreed between two counterparties, which To hedge against (reduce exposure to) forward exchange rate fluctuations. Forwards · Futures. of exposures and CVA (Credit Value Adjustment)/PFE (Potential Future Exposure) for large portfolios of Interest Rate swaps, FX Forwards and Cross- Currency