+Artikel 325ax Risikogewichte für Vega- und Krümmungsrisiken
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Artikel 325ax Risikogewichte für Vega- und Krümmungsrisiken

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1. Übersicht

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Article 325ax 1.
Buckets for vega risk factors shall be similar to the buckets established for delta risk factors in accordance with Section 3, Subsection 1.
Article 325ax 2.

Risk weights for sensitivities to vega risk factors shall be assigned in accordance with the risk class of the risk factors, as follows:



Table 1

Risk class

Risk weights

GIRR

100 %

CSR non-securitisations

100 %

CSR securitisations (ACTP)

100 %

CSR securitisations (non-ACTP)

100 %

Equity (large cap and indices)

77,78  %

Equity (small cap and other sector)

100 %

Commodity

100 %

Foreign exchange

100 %
Article 325ax 4.
Buckets used in the context of delta risk in Subsection 1 shall be used in the curvature risk context unless specified otherwise in this Chapter.
Article 325ax 5.
For foreign exchange and equity curvature risk factors, the curvature risk weights shall be relative shifts equal to the delta risk weights referred to in Subsection 1.
Article 325ax 6.
For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk bucket.

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards