Whitepapers

The Formidable Exposure Spikes: The Long and Spiky Road to Consistency in CCR Internal Models

The modelling of exposure spikes shows an inconsistency between the BCBS's and ECB's guidance based on multiple differences in the criteria utilized in their analyses. The topic continues to be discussed as the inconsistencies require further work to guarantee consistent implementation of Basel standards across jurisdictions.

The Formidable Exposure Spikes: The Long and Spiky Road to Consistency in CCR Internal Models

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