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Credit Exposure

A credit exposure of a financial instrument to a counterparty is the amount lost when the counterparty defaults. There are two types of potential credit exposures, worst credit exposures and expected credit exposures. A worst credit exposure at a given time is the largest possible loss of the instrument at certain confidence level when the counterparty defaults. An expected exposure is the expected loss of the instrument at a given time.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.