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Directive 2006/48/EC of the European Parliament and of the council (repealed)Show full title
Directive 2006/48/EC of the European Parliament and of the council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed)
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- Directives originating from the EU
- 2006 No. 48
- ANNEX III
- PART 1
- CCR related risks
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- Revised 01/01/20140.44 MB
- Revised 01/07/20131.94 MB
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- Revised 30/03/20100.93 MB
- Revised 07/12/20090.93 MB
- Revised 30/10/20090.88 MB
- Revised 17/08/20090.88 MB
- Revised 21/03/20080.84 MB
- Revised 25/12/20070.84 MB
- Revised 21/09/20070.84 MB
- Revised 17/04/20070.85 MB
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CCR related risks
26.‘Rollover Risk’ means the amount by which expected positive exposure is understated when future transactions with a counterpart are expected to be conducted on an ongoing basis. The additional exposure generated by those future transactions is not included in calculation of EPE.
27.‘General Wrong‐Way Risk’ arises when the PD of counterparties is positively correlated with general market risk factors.
28.‘Specific Wrong‐Way Risk’ arises when the exposure to a particular counterparty is positively correlated with the PD of the counterparty due to the nature of the transactions with the counterparty. A credit institution shall be considered to be exposed to Specific Wrong‐Way Risk if the future exposure to a specific counterparty is expected to be high when the counterparty's PD is also high.
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