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calculation level (FS-BA-PM-CR)
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Credit Risk (FS-BA-PM-CR)
Controls up to which level the system calculates risk values.
The calculation is comprised of the following calculation levels:
- Calculation level 0 = enrichment
- Calculation level 1 = calculation at single-transaction level (in the context of Basel II determination of the EAD)
- Calculation level 2 = inclusion of collateral and guarantees (in the
context of Basel II determination of the regulatory capital requirement).
