+Article 325r 4.

Article 325r 4.

Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:

image

where:

sk

=

the delta commodity risk sensitivities;

k

=

a given commodity risk factor;

CTYk

=

the value of risk factor k;

▼C7

Vi (.)

=

the pricing function of instrument i; and

▼M8

y, z

=

risk factors other than CTYk in the pricing model of instrument i.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards