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 (February 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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EBA publishes final draft standards on key aspects related to the implementation of the standardised approach for counterparty credit risk (18 December 2019)

EBA final draft Regulatory Technical Standards on mapping of derivative transactions to risk categories, on supervisory delta formula for interest rate options and on determination of long or short positions in the Standardised Approach for Counterparty Credit Risk under Article 277(5) and Article 279a(3)(a) and (b), respectively, of Regulation (EU) No 575/2013 (revised Capital Requirements Regulation – CRR2) (EBA-RTS-2019-02; 18 December 2019)

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Discussion Paper: Implementation in the European Union of the revised market risk and counterparty credit risk frameworks (EBA/DP/2017/04; 18 December 2017)

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Draft ECB Guide on materiality assessment (EGMA)
Materiality assessment for IMM and A-CVA model extensions and changes (December 2017)                                  
Press release

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