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Loss-given-default

Loss-given-default formula

capital requirement for counterparty default risk formula

Specific exposures

Specific exposures and table

Risk factor for market risk concentration

Risk factor for market risk concentration tables.

Excess exposure

Excess exposure formula

Single name exposure

capital requirement for market risk concentration calculation

Subsidence risk sub-module

Capital Requirement for subsidence risk

Hail risk sub-module

Capital Requirements for hail risk sub-module

Flood risk sub-module

Capital Requirement for flood risk set out as well as the the different scenarios encompassed.

Earthquake risk sub-module

The capital requirement for earthquake risk shall be equal to the following: SCR_earthquake = sqrt ((sum_(r,s) CorrEQ_(r,s) * SCR_(earthquake,r) * SCR_(earthquake,s)) + SCR^2_(earthquake,other))where:(a) the sum includes all possible combinations (r,s) of the regions set out in Annex VI; (b)...