risk-neutral distribution
Definitions over time (1)
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19/07/2016 – 25/12/2019 Article 272, Capital Requirements Regulation (CRR) Scope: Part III Title II Chapter 6
For the purposes of this Chapter and of Title VI of this Part, the following definitions shall apply:
‘risk-neutral distribution’ means a distribution of market values or exposures over a future time period where the distribution is calculated using market implied values such as implied volatilities;
Other definitions of this term in this act (1)
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