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Process For Counterparty Credit Risk - CEM Method Non Nettable Pool (Doc ID 2829274.1)

Last updated on DECEMBER 26, 2021

Applies to:

Oracle Financial Services Basel Regulatory Capital Internal Ratings Based Approach - Version 8.0.0 and later
Information in this document applies to any platform.

Goal

The process/task for computing the CCR under the Current exposure method. as per Basel user guide 807, under the CEM method, the OTC EAD is computed either in non-netted exposure or netted exposure. But, not able to find the task specifically for non-netted exposure EAD computation.
 

Solution

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Goal
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