+Article 325g 3.
|
Article 325g 3.
By way of derogation from paragraph 2, for curves of risk factors that belong to the general interest rate risk (GIRR), credit spread risk (CSR) and commodity risk classes, institutions shall perform the calculations laid down in paragraph 6 at the level of the entire curve instead of at the level of each risk factor that belongs to the curve. For the purposes of the calculation referred to in paragraph 2, where xk
is a curve of risk factors allocated to the GIRR, CSR and commodity risk classes, sik
shall be the sum of the delta sensitivities to the risk factor of the curve across all tenors of the curve.
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 |
|