+Article 325r 5.

Article 325r 5.

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

image

where:

sk

=

the delta foreign exchange risk sensitivities;

k

=

a given foreign exchange risk factor;

FXk

=

the value of the risk factor;

▼C7

Vi (.)

=

the pricing function of instrument i; and

▼M8

y, z

=

risk factors other than FXk 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