+Artikolu 383i 3.

Artikolu 383i 3.

L-istituzzjonijiet għandhom jikkalkulaw is-sensittivitajiet delta tas-CVA aggregat għall-fatturi tar-riskju li jikkonsistu f'rati ta' firxiet tal-kreditu tal-kontroparti, kif ukoll fi strument għall-iħħeġġjar eliġibbli għal dawk il-fatturi tar-riskju, kif ġej:

image

image

fejn:

image

= is-sensittivitajiet tas-CVA aggregat għal fattur tar-riskju tar-rata ta' firxiet tal-kreditu tal-kontroparti;

ccskt

= il-valur tal-fattur tar-riskju tar-rata ta' firxiet tal-kreditu tal-kontroparti k fil-maturità t;

VCVA

= is-CVA aggregat ikkalkulat bil-mudell regolatorju ta' CVA;

x,y

= fatturi tar-riskju minbarra ccskt fi VCVA ;

image

= is-sensittivitajiet tal-ħeġġ eliġibbli i għal fattur tar-riskju tar-rata ta' firxiet tal-kreditu tal-kontroparti;

Vi

= il-funzjoni tal-ipprezzar tal-ħeġġ eliġibbli i;

w,z

= fatturi tar-riskju minbarra ccskt fil-funzjoni tal-ipprezzar Vi .

1. Ħarsa ġenerali

,

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards
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