+Article 325g 4.
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Article 325g 4.
In order to determine a bucket-level own funds requirement for curvature risk, institutions shall aggregate, in accordance with the following formula the upward and downward net curvature risk positions, calculated in accordance with paragraph 2, of all the risk factors assigned to that bucket in accordance with Subsection 1 of Section 3: where:
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b
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=
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the index that denotes a bucket of a given risk class;
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Kb
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=
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own funds requirements for curvature risk for bucket b;
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 ;
 ;
 ;
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pkl
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=
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the intra-bucket correlations between risk factors k and l as prescribed in Section 6;
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k, l
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=
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the indices that denote all the risk factors of instruments referred to in paragraph 1 that are assigned to bucket b;
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( )
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=
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the upward net curvature risk position;
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( )
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=
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the downward net curvature risk position.
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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 |
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