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Article 284 › 4

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Except for counterparties identified as having Specific Wrong-Way Risk that fall within the scope of Article 291(4) and (5), institutions shall calculate the exposure value as the product of alpha (α) times Effective EPE, as follows: where: α 1.4, unless competent authorities require a higher α or permit institutions to use their own estimates in accordance with paragraph 9; Effective EPE shall be calculated by estimating expected exposure (EEt) as the average exposure at future date t, where the average is taken across possible future values of relevant market risk factors. The model shall estimate EE at a series of future dates t1, t2, t3, etc.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04