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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