+Article 383g Equity risk factors
---+Article 383g 1.
---+Article 383g 2.
---+Article 383g 3.
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Article 383g Equity risk factors
1. Overview
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Regulation |
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Article 383g 1.
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The buckets for all equity risk factors shall be the buckets referred to in Article 383t.
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Article 383g 2.
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The equity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity spot prices shall be the spot prices of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket.
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Article 383g 3.
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The equity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity volatility shall be the implied volatilities of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket.
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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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