specific wrong‐way risk
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…
when the exposure to a particular counterparty is positively correlated with the PD of the counterparty due to the nature of the transactions with the counterparty. A credit institution shall be considered to be exposed to Specific Wrong‐Way Risk if the future exposure to a specific counterparty is expected to be high when the counterparty's PD is also high.