+Article 223 3.
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Article 223 3.
Institutions shall calculate the volatility-adjusted value of the exposure (EVA) they need to take into account as follows:
where:
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E
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=
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the exposure value as would be determined under Chapter 2 or Chapter 3, as applicable, where the exposure was not collateralised;
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HE
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=
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the volatility adjustment appropriate to the exposure, as calculated under Articles 224 and 227.
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In the case of OTC derivative transactions, institutions using the method laid down in Section 6 of Chapter 6 shall calculate EVA as follows: EVA = E.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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