+Article 325g 6.
|
Article 325g 6.
Institutions shall calculate the risk-class own funds requirements for curvature risk (RCCR) by aggregating all the bucket-level own funds requirements for curvature risk within a given risk class as follows: where:
|
b, c
|
=
|
the indices that denote all the buckets of a given risk class that corresponds to instruments referred to in paragraph 1;
|
|
Kb
|
=
|
own funds requirements for curvature risk for bucket b;
|
 ;
 ;
|
γbc
|
=
|
the inter-bucket correlations between buckets b and c as set out in Section 6.
|
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 |
|