peak exposure
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…
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.
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Also defined in
- CRR 32013R0575, Article 272, point (18)
a high percentile of the distribution of exposures at particular future date before the maturity date of the longest transaction in the netting set;