+Article 284 4.

Article 284 4.

Except for counterparties identified as having Specific Wrong-Way risk that fall within the scope of Article 291(4) and (5), institutions shall calculate the exposure value as the product of alpha (α) times Effective EPE, as follows:

Exposure value = α · Effective EPE

where:

α

=

1.4, unless competent authorities require a higher α or permit institutions to use their own estimates in accordance with paragraph 9;

Effective EPE shall be calculated by estimating expected exposure (EEt) as the average exposure at future date t, where the average is taken across possible future values of relevant market risk factors.

The model shall estimate EE at a series of future dates t1, t2, t3, etc.

1. Áttekintés

,

1.1 Hivatkozások

1.2 Azonosított követelmények

1.3 Kapcsolódó szabványok

2. Azonosított követelmények

Követelmények

3. Kapcsolódó szabványok

Szabványok