The Basel Committee permits firms to use a variety of methods to calculate regulatory capital on counterparty risk, including a simple approach – the constant exposure method or CEM – and a more sophisticated models-based approach known as EPE for expected positive exposure.
Documents (1) for A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios
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Trading Book Capital: Scott O'Malia Remarks
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A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in January 2026.
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