peak exposure
as defined in CRR, Article 272, point (18) (Definitions)
a high percentile of the distribution of exposures at particular future date before the maturity date of the longest transaction in the netting set
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Also defined in
- Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and… 32006L0048, bIII.p19
a high percentile of the distribution of exposures at any particular future date before the maturity date of the longest transaction in the netting set.