Master Counterparty Credit Risk in Excel: EPE, ENE, PFE & EE Explained

Explore the fundamentals of Counterparty Credit Risk in this comprehensive Excel tutorial, where we break down key concepts like Expected Positive Exposure (EPE), Expected Negative Exposure (ENE), Potential Future Exposure (PFE), and Expected Exposure (EE). Learn how to specify mean, standard deviation, and alpha to build a bell curve probability distribution in Excel, providing a solid foundation for understanding these critical risk metrics. This video guides you step-by-step through calculating EPE and ENE, analyzing PFE, and defining EE with practical examples. Perfect for finance professionals, students, or anyone studying credit risk management, this tutorial simplifies complex topics into actionable insights. Watch now and enhance your knowledge with Ryan O'Connell, CFA, FRM! 📈 See Why I Recommend This Broker: https://ryano.finance/ibkr-overview 💾 Download Free Excel File Here: https://ryanoconnellfinance.com/produ... Chapters 0:00 - Setting Mean, Standard Deviation & Alpha for Risk Calculations 0:30 - Building a Bell Curve Probability Distribution in Excel 3:16 - Expected Positive Exposure (EPE) & Expected Negative Exposure (ENE) Explained 7:52 - Potential Future Exposure (PFE) Explained 10:08 - Expected Exposure (EE) Explained *Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.