+Article 383i 6.

Article 383i 6.

Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of commodity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows:

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where:

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= the sensitivities of the aggregate CVA to a commodity spot price risk factor;

CTY

= the value of the commodity spot price;

VCVA

= the aggregate CVA calculated by the regulatory CVA model;

x,y

= risk factors other than CTY in VCVA ;

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= the sensitivities of the eligible hedge i to a commodity spot price risk factor;

Vi

= the pricing function of the eligible hedge i;

w,z

= risk factors other than CTY in the pricing function Vi .

1. Übersicht

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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