+Article 325g 2.

Article 325g 2.

For a given risk factor k included in one or more instruments referred to in paragraph 1, institutions shall calculate the upward net curvature risk position of that risk factor (image) and the downward net curvature risk position of that risk factor (image) as follows:

where:

i

=

the index that denotes all the positions of instruments referred to in paragraph 1 and including risk factor k;

xk

=

the current value of risk factor k;

Vi (xk )

=

the value of instrument i as estimated by the pricing model of the institution based on the current value of risk factor k;

image

=

the value of instrument i as estimated by the pricing model of the institution based on an upward shift of the value of risk factor k;

image

=

the value of instrument i as estimated by the pricing model of the institution based on a downward shift of the value of risk factor k;

image

=

the risk weight applicable to risk factor k determined in accordance with Section 6;

sik

=

the delta sensitivity of instrument i with respect to risk factor k, calculated in accordance with Article 325r.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards