+Artikel 325h Aggregation der risikoklassespezifischen Eigenmittelanforderungen für Delta-Faktor-, Vega- und Krümmungsrisiken
---+Article 325h 1.
---+Article 325h 2.
---+Article 325h 3.
---+Article 325h 4.

Artikel 325h Aggregation der risikoklassespezifischen Eigenmittelanforderungen für Delta-Faktor-, Vega- und Krümmungsrisiken

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1. Übersicht

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Article 325h 1.
Institutions shall aggregate risk-class specific own funds requirements for delta, vega and curvature risks in accordance with the process set out in paragraphs 2, 3 and 4.
Article 325h 2.

The process to calculate the risk-class specific own funds requirements for delta, vega and curvature risks described in Articles 325f and 325g shall be performed three times per risk class, each time using a different set of correlation parameters ρkl (correlation between risk factors within a bucket) and γbc (correlation between buckets within a risk class). Each of those three sets shall correspond to a different scenario, as follows:

(a) 

the medium correlations scenario, whereby the correlation parameters ρkl and γbc remain unchanged from those specified in Section 6;

(b) 

the high correlations scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be uniformly multiplied by 1,25, with ρkl and γbc subject to a cap at 100 %;

▼M12

(c) 

the ‘low correlations’ scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be replaced by image andimage, respectively.

▼M8

Article 325h 3.
Institutions shall calculate the sum of the delta, vega and curvature risk-class specific own funds requirements for each scenario to determine three scenario-specific, own funds requirements.
Article 325h 4.
The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards