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Discount Factor EAD
Description |
Supervisory discount factor for exposures at default |
Reference |
[MAR50.15] |
Notation |
DFc |
Formula |
DF=1 if EAD was computed under IMM else DF=1−e−0.05⋅M0.05⋅M |
We recommend displaying hierarchy [TradePosition].[Netting Sets] to display discount factors applied to exposures at default.
See also