Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of equity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows:
where:
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= the sensitivities of the aggregate CVA to an equity spot price risk factor;
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EQ
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= the value of the equity spot price;
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VCVA
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= the aggregate CVA calculated by the regulatory CVA model;
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x,y
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= risk factors other than EQ in VCVA
;
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= the sensitivities of the eligible hedge i to an equity spot price risk factor;
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Vi
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= the pricing function of the eligible hedge i;
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w,z
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= risk factors other than EQ in the pricing function Vi
.
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