+Article 221 6.
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Article 221 6.
Institutions using the internal models approach shall calculate E* in accordance with the following formula:
where:
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Ei
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=
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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;
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Ci
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=
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the value of the securities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure i.
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When calculating risk-weighted exposure amounts using internal models, institutions shall use the previous business day's model output.
1. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
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