+Article 383j Vega risk sensitivities
|
Article 383j Vega risk sensitivities
Article 383j
Institutions shall calculate the vega risk sensitivities of the aggregate CVA to risk factors consisting of implied volatility, as well as of an eligible hedge instrument to those risk factors, as follows:
where:
|
|
= the sensitivities of the aggregate CVA to an implied volatility risk factor;
|
|
volk
|
= the value of the implied volatility risk factor;
|
|
VCVA
|
= the aggregate CVA calculated by the regulatory CVA model;
|
|
x,y
|
= risk factors other than volk
in the pricing function VCVA
;
|
|
|
= the sensitivities of the eligible hedge instrument i to an implied volatility risk factor;
|
|
Vi
|
= the pricing function of the eligible hedge i;
|
|
w,z
|
= risk factors other than volk
in the pricing function Vi
.
|
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
EN: Legal acts of the European Union from EUR-Lex, https://eur-lex.europa.eu/. © European Union. Re-use is authorised by Decision 2011/833/EU, provided the source is acknowledged; the consolidated texts are licensed under CC BY 4.0 (EUR-Lex legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the legislation published in the Official Journal of the European Union is deemed authentic.
DE: Rechtsakte der Europäischen Union aus EUR-Lex, https://eur-lex.europa.eu/. © Europäische Union. Weiterverwendung nach Beschluss 2011/833/EU mit Quellenangabe gestattet; die konsolidierten Fassungen stehen unter CC BY 4.0 (Rechtlicher Hinweis von EUR-Lex). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Verbindlich sind allein die im Amtsblatt der Europäischen Union veröffentlichten Rechtsakte.
|