What is EPE in Basel?
Expected positive exposure (EPE) is the weighted average over time of expected exposure where the weights are the proportion that an individual expected exposure represents of the entire time interval.
What is margin period of risk MPOR?
The concept of margin period of risk (‘MPOR’) is the same as that used in Article 272(9) of Regulation (EU) No 575/2013; as such, MPOR refers to the ‘time period from the most recent exchange of collateral covering a netting set of OTC derivative contracts with a defaulting counterparty until the OTC derivative …
What is PSE in risk?
Pre-settlement risk is the possibility that one party in a contract will fail to meet its obligations under that contract, resulting in default before the settlement date. This default by one party would prematurely end the contract and leave the other party to experience loss if they are not insured in some way.
What is EPE and Ene?
nents are typically known as the expected positive exposure (EPE) and the expected negative exposure (ENE).
What is EPE model?
An EPE model is designed to produce a distribution of possible exposure values at future time horizons for a particular counterparty. This distribution of exposures is currently used to determine the regulatory capital through application of the regulatory capital metric “effective expected positive exposure” (EEPE).
How is margin calculated in forex?
The formula for calculating the margin for a forex trade is simple. Just multiply the size of the trade by the margin percentage. Then, subtract the margin used for all trades from the remaining equity in your account. The resulting figure is the amount of margin that you have left.
Is interest rate risk a market risk?
Interest rate risk is the risk that changes in interest rates (in the U.S. or other world markets) may reduce (or increase) the market value of a bond you hold. Interest rate risk—also referred to as market risk—increases the longer you hold a bond.
What is liquidity horizon?
The liquidity horizon is the time assumed to be required to exit or hedge a risk position without materially affecting market prices in stressed market conditions. The longer the liquidity horizon, the less liquid the risk factor is and thus the higher the capital requirements tend to be.
What is peak exposure?
Listen to pronunciation. (peek ek-SPOH-zher) The largest amount of a substance or radiation that a person is exposed to at one time. Peak exposure to a harmful substance or radiation may increase the risk of certain diseases or conditions.