Rollover Risk means the amount by which expected positive exposure is understated when future transactions with a counterpart are expected to be conducted on an ongoing basis.
Minimum requirements for EPE models
Effective EPE is the average Effective EE during the first year of future exposure.
Effective EPE without taking into account the margin agreement
Validation requirements for EPE models
in the denominator, EPE shall be used as if it were a fixed outstanding amount.
Effective EPE is computed as a weighted average of Effective EE
A credit institution's EPE model shall meet the following validation requirements
the own funds requirement for those exposures calculated on the basis of Effective EPE using current market data
If the netting set is subject to a margin agreement, credit institutions shall use one of the following EPE measures
The exposure value shall be calculated as the product of α times Effective EPE, as follows
if the model validation indicates that effective EPE is underestimated, the institution shall take the action necessary to address the inaccuracy of the model
the EPE model shall also include transaction-specific information to capture the effects of margining.
for exposures with a rising risk profile after one year, the credit institution shall compare on a regular basis the estimate of EPE over one year with EPE over the life of the exposure; and
A credit institution's EPE model shall meet the operational requirements set out in points 17 to 41.
An institution shall monitor the relevant risks and have processes in place to adjust its estimation of EEPE when those risks become significant.
A credit institution shall monitor the appropriate risks and have processes in place to adjust its estimation of EPE when those risks become significant.
the EPE model shall capture transaction-specific information in order to aggregate exposures at the level of the netting set.
These stress measures shall be compared with the measure of EPE and considered by the credit institution as Part of the process set out in Article 123.
Credit institutions may use a measure that is more conservative than α multiplied by Effective EPE as calculated according to the equation above for every counterparty.
Requêtes fréquentes français :1-200, -1k, -2k, -3k, -4k, -5k, -7k, -10k, -20k, -40k, -100k, -200k, -500k, -1000k,
Requêtes fréquentes anglais :1-200, -1k, -2k, -3k, -4k, -5k, -7k, -10k, -20k, -40k, -100k, -200k, -500k, -1000k,
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