+Article 221 6.
|
Article 221 6.
Institutions using the internal models approach shall calculate E* in accordance with the following formula:
where:
|
Ei
|
=
|
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;
|
|
Ci
|
=
|
the value of the securities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure i.
|
When calculating risk-weighted exposure amounts using internal models, institutions shall use the previous business day's model output.
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 |
|