+Article 221 6.
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Article 221 6.
Institutions using the internal models approach shall calculate E* in accordance with the following formula:
where:
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Ei
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=
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the exposure value for each separate exposure i under the agreement that would apply in the absence of the credit protection, where institutions calculate the risk-weighted exposure amounts under the Standardised Approach or where they calculate risk-weighted exposure amounts and expected loss amounts under the IRB Approach;
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Ci
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=
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the value of the securities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure i.
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When calculating risk-weighted exposure amounts using internal models, institutions shall use the previous business day's model output.
1. Übersicht
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Regulierung |
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1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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