+Artikel 325r Delta-Risikosensitivitäten
---+Article 325r 1.
---+Article 325r 2.
---+Article 325r 3.
---+Article 325r 4.
---+Article 325r 5.
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Artikel 325r Delta-Risikosensitivitäten
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1. Übersicht
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Regulierung |
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Article 325r 1.
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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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Article 325r 2.
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Institutions shall calculate the delta credit spread risk sensitivities for all securitisation and non-securitisation positions as follows:
where:
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=
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the delta credit spread risk sensitivities for all securitisation and non-securitisation positions;
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cskt
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=
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the value of the credit spread rate of an issuer j at 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 cskt in the pricing function Vi.
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Article 325r 3.
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Institutions shall calculate delta equity risk sensitivities as follows:
(a)
the sensitivities to risk factors consisting of equity spot prices shall be calculated as follows:
where:
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sk
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=
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the sensitivities to risk factors consisting of equity spot prices;
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k
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=
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a specific equity security;
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EQk
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=
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the value of the spot price of that equity security;
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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 EQk in the pricing function Vi;
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(b)
the sensitivities to risk factors consisting of equity repo rates shall be calculated as follows:
where:
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=
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the sensitivities to risk factors consisting of equity repo rates;
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k
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=
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the index that denotes the equity;
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=
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a vector of m components representing the repo term structure for a specific equity k with m being equal to the number of repo rates corresponding to different maturities 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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risk factors other than
in the pricing function Vi.
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Article 325r 4.
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Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:
where:
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sk
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=
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the delta commodity risk sensitivities;
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k
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=
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a given commodity risk factor;
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CTYk
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=
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the value of risk factor k;
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▼C7
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Vi (.)
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=
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the pricing function of instrument i; and
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▼M8
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y, z
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=
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risk factors other than CTYk in the pricing model of instrument i.
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Article 325r 5.
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Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:
where:
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sk
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=
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the delta foreign exchange risk sensitivities;
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k
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=
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a given foreign exchange risk factor;
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FXk
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=
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the value of the risk factor;
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▼C7
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Vi (.)
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=
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the pricing function of instrument i; and
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▼M8
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y, z
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=
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risk factors other than FXk in the pricing model of instrument i.
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,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
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Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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