Institutions shall calculate the equity risk category add-on for hedging set j as follows:
where:
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=
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the equity risk category add-on for hedging set j;
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єj
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=
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the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
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k
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=
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the index that denotes the equity reference entities of the netting set established in accordance with paragraph 1;
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=
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the correlation factor of the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1,
; where the equity reference entity k has been established in accordance with point (b) of paragraph 1,
; and |
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AddOn(Entityk)
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=
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the add-on for the equity reference entity k determined in accordance with paragraph 4.
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