Subregulation (19) Calculation of counterparty credit exposure in terms of the internal model method

[Heading substituted by section 3(m) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]

Subregulation (19)(a) Matters relating to the exposure amount or EAD, and matters related thereto

Subregulation (19)(b) Matters relating to own estimates of alpha

Subregulation (19)(c) Matters relating to effective maturity

Subregulation (19)(d) Matters relating to cross-product netting

Subregulation (19)(e) Matters relating to margin agreements

Subregulation (19)(f) Matters relating to model validation and operational requirements

Subregulation (19)(g) Matters related to minimum required capital and reserve funds for default risk

Subregulation (19)(h) Matters related to minimum required capital and reserve funds for credit valuation adjustments (CVA) for a bank that obtained approval for the internal model method for the measurement of the bank's exposure to counterparty credit risk and the internal models approach for the measurement of specific risk as part of the bank's exposure to market risk