+Article 383e Counterparty credit spread risk factors
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---+Article 383e 2.
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Article 383e Counterparty credit spread risk factors
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1. Overview
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Regulation |
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Article 383e 1.
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The counterparty credit spread delta risk factors applicable to counterparty credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of individual counterparties and reference names and qualified indices for the following maturities: 0,5 years, 1 year, 3 years, 5 years and 10 years.
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Article 383e 2.
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The counterparty credit spread risk class shall not be subject to vega risk own funds requirements.
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1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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