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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On April 20, ISDA submitted a response to the European Securities and Markets Authority (ESMA) consultation paper on a draft regulatory technical standard (RTS) for the post-trade risk reduction (PTRR) exemption from the derivatives clearing obligation under Article 4b of the...
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