The Adjusted Notional is the second component of the Risk Position. Calculated at the trade level, it converts a raw contract notional into a standardised measure of exposure size that is
consi
Before any trade can contribute to the Add-On, it must be expressed as a single signed number — the Risk Position. Calculated at the trade level, one per transaction, it compresses three dimensions o
The Add-On is the engine of SA-CCR. It estimates how much a derivatives portfolio's exposure could grow over the remaining life of its trades, and it drives the Potential Future Exposure (PFE) — one o
Comments