In accordance with the provisions of the Capital Requirements Regulation (CRR), two different approaches are used to quantify credit and counterparty credit risk, the Credit Risk Standardised Approach (CRSA) and the Internal Ratings-Based Approach (IRBA). Given the importance of credit risk mitigation techniques and netting agreements, the CRR contains special rules for them. The same applies to rules for capturing risks arising from securitisations.

In order to calculate the exposure values of derivative positions, the CRR provides for four procedures: the standardised approach for counterparty credit risk, which, since June 2021, replaces the previously used mark-to-market method, standardised method, and original exposure method, and allows a recognition of diversification, hedging and margining, the simplified standardised approach for counterparty credit risk and the (new) original exposure method as simpler methods that can be used by institutions with a smaller-sized derivative business, and the Internal Model Method (IMM). With the IMM, exposure values are calculated using an internal risk model that assesses the distribution of future positive market values of derivatives based on modelled market price movements. Since institutions have considerable discretion when using the IMM, this method, unlike the other aforementioned procedures, may only be used upon approval by supervisors.

Moreover, trading book institutions have to recognise the settlement risk from trading book positions when calculating the total capital charges for counterparty credit risk. Since here, unlike in the case of counterparty credit risk exposures, the focus is not on the risk of a counterparty defaulting but on technical risks, the total capital charge for such settlement risks is dependent on how long the settlement is delayed and on the amount of the difference between the settlement price and the underlying instruments' current market price in favour of the institution.