EBU Single Rulebook Q&A 6 March 2014 2014_907 Potential future exposure for options
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European Union · · · 06-03-2014
According to Mark-to-Market method set out in Article 274 Regulation (EU) No 575/2013 (CRR), institutions should calculate potential future exposure and, as we understand, for options delta equivalent might be used as it is applied for Position risk? In case of OTC-options should institution have permission by the competent authorities for using institution's own delta model?
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