+Section 2 Sensitivities-based method for calculating the own funds requirement
---+Article 325d Definitions
---+Article 325e Components of the sensitivities-based method
------+Article 325e 1.
------+Article 325e 2.
------+Article 325e 3.
---+Article 325f Own funds requirements for delta and vega risks
------+Article 325f 1.
------+Article 325f 2.
------+Article 325f 3.
------+Article 325f 4.
------+Article 325f 5.
------+Article 325f 6.
------+Article 325f 7.
------+Article 325f 8.
---+Article 325g Own funds requirements for curvature risk
------+Article 325g 1.
------+Article 325g 2.
------+Article 325g 3.
------+Article 325g 4.
------+Article 325g 5.
------+Article 325g 6.
------+Article 325g 7.
---+Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
------+Article 325h 1.
------+Article 325h 2.
------+Article 325h 3.
------+Article 325h 4.
---+Article 325i Treatment of index instruments and other multi-underlying instruments
------+Article 325i 1.
------+Article 325i 2.
------+Article 325i 3.
------+Article 325i 4.
------+Article 325i 5.
------+Article 325i 6.
---+Article 325j Treatment of collective investment undertakings
------+Article 325j 1.
------+Article 325j 1a.
------+Article 325j 2.
------+Article 325j 3.
------+Article 325j 4.
------+Article 325j 5.
------+Article 325j 6.
------+Article 325j 7.
---+Article 325k Underwriting positions
------+Article 325k 1.
------+Article 325k 2.
------+Article 325k 3.

Section 2 Sensitivities-based method for calculating the own funds requirement

Section 2 Sensitivities-based method for calculating the own funds requirement

1. Overview

,
Article 325d Definitions

Article 325d

Definitions

For the purposes of this Chapter, the following definitions apply:

(1) 

‘risk class’ means one of the following seven categories:

(i) 

general interest rate risk;

(ii) 

credit spread risk (CSR) for non-securitisation;

(iii) 

credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR);

(iv) 

credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR);

(v) 

equity risk;

(vi) 

commodity risk;

(vii) 

foreign exchange risk;

(2) 

‘sensitivity’ means the relative change in the value of a position, as a result of a change in the value of one of the relevant risk factors of the position, calculated with the institution's pricing model in accordance with Subsection 2 of Section 3;

(3) 

‘bucket’ means a sub-category of positions within one risk class with a similar risk profile to which a risk weight as defined in Subsection 1 of Section 3 is assigned.
Article 325e Components of the sensitivities-based method
Article 325f Own funds requirements for delta and vega risks
Article 325g Own funds requirements for curvature risk
Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Article 325i Treatment of index instruments and other multi-underlying instruments
Article 325j Treatment of collective investment undertakings
Article 325k Underwriting positions

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
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