Solvency II Standard Formula SCR:
Counterparty Default Risk Module – Correlations
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The final Solvency II Delegated
Act includes the following diversification computation when aggregating Type 1
and Type 2
exposures to derive the overall capital requirement for counterparty default
risk, 
:
This formula is effectively the same as proposed in CEIOPS (2010).
Version dated 7 December 2015
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