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