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Discount Factor EAD
| Description |
Supervisory discount factor for exposures at default |
| Reference |
[MAR50.15] |
| Notation |
$DF_c$ |
| Formula |
$$DF=1 \text{ if EAD was computed under IMM else } DF = \dfrac{1-e^{-0.05\cdot M}}{0.05\cdot M}\\$$ |
We recommend displaying hierarchy [TradePosition].[Netting Sets] to display discount factors applied to exposures at default.
See also