Timeline for Effects of hedges on counterparty exposure used for RWA computation
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 30, 2019 at 6:55 | vote | accept | richpiana | ||
| May 30, 2019 at 6:00 | answer | added | Attack68♦ | timeline score: 2 | |
| May 29, 2019 at 21:06 | comment | added | richpiana | @Attack68 yesi was looking at it, but could not find the exact reference, if you know that would be very useful (reference in the bcbs pdf) | |
| May 29, 2019 at 21:01 | comment | added | richpiana | @Attack68 many thanks, would you have a reference document that could help | |
| May 29, 2019 at 20:41 | comment | added | Attack68♦ | If your market risk hedge is with a different counterparty then it is isn't applicable. EAD is counterparty specific, typically measured across all trades with the same CP. The RWA might actually increase because both trades can have positive RWA value ie be 102 | |
| May 29, 2019 at 18:45 | review | First posts | |||
| May 30, 2019 at 7:32 | |||||
| May 29, 2019 at 18:40 | history | asked | richpiana | CC BY-SA 4.0 |