+Article 223 5.
|
Article 223 5.
Institutions shall calculate the fully adjusted value of the exposure (E*), taking into account both volatility and the risk-mitigating effects of collateral as follows:
where:
|
EVA
|
=
|
the volatility adjusted value of the exposure as calculated in paragraph 3;
|
|
CVAM
|
=
|
CVA further adjusted for any maturity mismatch in accordance with the provisions of Section 5;
|
In the case of OTC derivative transactions, institutions using the methods laid down in Sections 3, 4 and 5 of Chapter 6 shall take into account the risk-mitigating effects of collateral in accordance with the provisions laid down in Sections 3, 4 and 5 of Chapter 6, as applicable.
1. Áttekintés
1.1 Hivatkozások
1.2 Azonosított követelmények
1.3 Kapcsolódó szabványok
2. Azonosított követelmények
Követelmények
| Forrás |
Követelmény |
3. Kapcsolódó szabványok
Szabványok
| Forrás |
Követelmény |
|