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Mevzuat » ANNEX III - THE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES ORCOMMODITIES LENDING OR BORROWING TRANSACTIONS, LONG SETTLEMENT TRANSACTIONS AND MARGIN LENDING TRANSACTIONS

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  • ANNEX III - THE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES ORCOMMODITIES LENDING OR BORROWING TRANSACTIONS, LONG SETTLEMENT TRANSACTIONS AND MARGIN LENDING TRANSACTIONS
  • PART 1
    • Definitions
    • General terms
    • Transaction types
    • Netting sets, hedging sets, and related terms
    • Distributions
    • Exposure measures and adjustments
    • CRR related risks
  • PART 2
    • Choice of the method
  • PART 3
    • Mark-to-Market Method
  • PART 4
    • Original Exposure Method
  • PART 5
    • Standardised Method
  • PART 6
    • Internal Model Method
    • Exposure value
    • CRR control
    • Use test
    • Stress testing
    • Wrong-Way Risk
    • Integrity of the modelling process
    • Validation requirements for EPE models
  • PART 7
    • Contractual netting (contracts for novation and other netting agreements

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