+Article 280c 3.
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Article 280c 3.
Institutions shall calculate the credit risk category add-on for hedging set j as follows:
where:
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=
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the credit risk category add-on for hedging set j;
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єj
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=
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the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
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k
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=
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the index that denotes the credit reference entities of the netting set established in accordance with paragraph 1;
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=
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the correlation factor of the credit reference entity k; where the credit reference entity k has been established in accordance with point (a) of paragraph 1,
, where the credit reference entity k has been established in accordance with point (b) of paragraph 1,
; and |
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AddOn(Entityk)
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=
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the add-on for the credit reference entity k determined in accordance with paragraph 4.
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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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