Kreditno tveganje nasprotne stranke

Regulativni tehnični standardi

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Delegirana uredba Komisije (EU) 2017/954 z dne 6. junij 2017 o dopolnitvi Uredbe (EU) št. 575/2013 Evropskega parlamenta in Sveta v zvezi z regulativnimi tehničnimi standardi za določitev obdobij kritja za tveganje (UL L št. 144 z dne 7. junij 2017)

 

Izvedbeni akti

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Izvedbena uredba Komisije (EU) 2018/1889 z dne 4. decembra 2018 o podaljšanju prehodnih obdobij iz uredb (EU) št. 575/2013 in (EU) št. 648/2012 Evropskega parlamenta in Sveta v zvezi s kapitalskimi zahtevami za izpostavljenosti do centralnih nasprotnih strank (UL L št. 309 z dne 5. 12. 2018)

 

ECB akti

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ECB Guide on assessment methodology (EGAM) Assessment methodology for the internal model method for calculating exposure to counterparty credit risk and the advanced method for own funds requirements for credit valuation adjustment risk (September 2020) /

Update on the Targeted Review of Internal Models (TRIM) (21 November 2019)                                              
ECB guide to internal models (October 2019)                                                                                                   

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Posvetovalni dokumenti in dokumenti pred objavo v Uradnem listu

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Commission Delegated Regulation (EU) …/... of 1.3.2021 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver for the purposes of Article 277(5), the formula for calculating the supervisory delta of call and put options mapped to the interest rate risk category and the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for the purposes of Article 279a(3)(a) and (b) in the standardised approach for counterparty credit risk (C(2021) 1225 final; 1 March 2021)

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