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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