Illustrative Results 2.a Closed Form Valuation 2.b Deterministic PFE 2.c Monte Carlo PFE 95% PFE, $ Position, Bbl Unit Risk, $/Bbl • Future scenarios estimated with aid of parametric VaR model • Single factor PFE estimated without simulations • Swap valuation • Deep ITM spread option • ATM spread option • Monte Carlo simulation trials rationalized with deterministic estimates • Extended for PFE estimates of multiple factors and transactions Log-Normal Black 76 model Normal Wilcox Bachelier