+Article 325r 1.
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Article 325r 1.
Institutions shall calculate delta general interest rate risk (GIRR) sensitivities as follows:
(a)
the sensitivities to risk factors consisting of risk-free rates shall be calculated as follows:
where:
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=
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the sensitivities to risk factors consisting of risk-free rates;
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rkt
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=
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the rate of a risk-free curve k with maturity t;
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Vi (.)
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=
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the pricing function of instrument i; and
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x,y
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=
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risk factors other than rkt in the pricing function Vi;
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(b)
the sensitivities to risk factors consisting of inflation risk and cross-currency basis shall be calculated as follows:
where:
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=
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the sensitivities to risk factors consisting of inflation risk and cross-currency basis;
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=
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a vector of m components representing the implied inflation curve or the cross-currency basis curve for a given currency j with m being equal to the number of inflation or cross-currency related variables used in the pricing model of instrument i;
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=
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the unity matrix of dimension (1 × m);
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Vi (.)
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=
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the pricing function of the instrument i; and
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y, z
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=
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other variables in the pricing model.
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1. Übersicht
| Bezeichnung |
Regulierung |
,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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