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+Article 325d Definitions |
Article 325d DefinitionsArticle 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. 1. Overview
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
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