+Article 325r 2.
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Article 325r 2.
Institutions shall calculate the delta credit spread risk sensitivities for all securitisation and non-securitisation positions as follows:
where:
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=
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the delta credit spread risk sensitivities for all securitisation and non-securitisation positions;
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cskt
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=
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the value of the credit spread rate of an issuer j at maturity t;
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Vi (.)
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=
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the pricing function of instrument i; and
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x,y
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=
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risk factors other than cskt in the pricing function Vi.
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1. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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