Search results
15 gru 2019 · Unlike a firm's exposure to credit risk through a loan, where the exposure to credit risk is unilateral and only the lending bank faces the risk of loss, CCR creates a bilateral risk of loss: the market value of the transaction can be positive or negative to either counterparty to the transaction.
- PDF Version
Counterparty credit risk (CCR) is the risk that the...
- CRE53
Specifically, to determine the default risk capital...
- PDF Version
I. Default counterparty credit risk charge. 1. With respect to identifying eligible hedges to the CVA risk capital charge, the Basel III provisions state that “tranched or nth-to-default CDSs are not eligible CVA hedges” (Basel III document, para 99 - inserting para 103 in Annex 4 of the Basel framework).
In this video from FRM Part 2 curriculum, we try and understand various metrics used to quantify credit exposure. This topic appears in Book 2 (Credit Risk) in the chapter on Future Value and Exposure. The metrics are Current Exposure (CE), Potential Future Exposure (PFE), Expected Positive Exposure (EPE), Expected Negative Exposure (ENE ...
14 mar 2022 · Expected exposure (EPE) – EPE is the average of all positive exposure values. Note that only positive values give rise to exposures which means that the EPE is above the EFV. Note that EPE is sometimes called expected exposure (EE).
5 cze 2020 · Specifically, to determine the default risk capital requirement for counterparty credit risk, banks must use the greater of the portfolio-level capital requirement (not including the credit valuation adjustment, or CVA, charge in MAR50) based on Effective expected positive exposure (EPE) using current market data and the portfolio-level capital ...
consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules.
The European Banking Authority (EBA) today published its final draft amending Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package.
