+Article 325r 5.

Article 325r 5.

Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:

image

where:

sk

=

the delta foreign exchange risk sensitivities;

k

=

a given foreign exchange risk factor;

FXk

=

the value of the risk factor;

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Vi (.)

=

the pricing function of instrument i; and

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y, z

=

risk factors other than FXk in the pricing model of instrument i.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards