+Article 383 2.

Article 383 2.

For the purpose of calculating the own funds requirements for CVA risk, the following definitions apply:

(1) 

“risk class” means any of the following categories:

(a) 

interest rate risk;

(b) 

counterparty credit spread risk;

(c) 

reference credit spread risk;

(d) 

equity risk;

(e) 

commodity risk;

(f) 

foreign exchange risk;

(2) 

“CVA portfolio” means the portfolio composed of the aggregate CVA and the eligible hedges referred to in paragraph 1, point (d);

(3) 

“aggregate CVA” means the sum of the CVAs calculated using the regulatory CVA model for the counterparties referred to in paragraph 1, first subparagraph.

1. Áttekintés

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1.1 Hivatkozások

1.2 Azonosított követelmények

1.3 Kapcsolódó szabványok

2. Azonosított követelmények

Követelmények

3. Kapcsolódó szabványok

Szabványok