+Article 279 Calculation of the risk position

Article 279 Calculation of the risk position

Article 279

Calculation of the risk position

For the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f, institutions shall calculate the risk position of each transaction of a netting set as follows:

RiskPosition = δ · AdjNot · MF
where:

δ

=

the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;

AdjNot

=

the adjusted notional amount of the transaction calculated in accordance with Article 279b; and

MF

=

the maturity factor of the transaction calculated in accordance with the formula laid down in Article 279c.

1. Overview

,
Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement