+Article 325r 3.
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Article 325r 3.
Institutions shall calculate delta equity risk sensitivities as follows:
(a)
the sensitivities to risk factors consisting of equity spot prices shall be calculated as follows:
where:
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sk
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=
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the sensitivities to risk factors consisting of equity spot prices;
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k
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=
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a specific equity security;
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EQk
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=
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the value of the spot price of that equity security;
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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 EQk in the pricing function Vi;
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(b)
the sensitivities to risk factors consisting of equity repo rates shall be calculated as follows:
where:
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=
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the sensitivities to risk factors consisting of equity repo rates;
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k
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=
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the index that denotes the equity;
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=
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a vector of m components representing the repo term structure for a specific equity k with m being equal to the number of repo rates corresponding to different maturities used in the pricing model of instrument i;
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=
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the unity matrix of dimension (1 · m);
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Vi (.)
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=
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the pricing function of the instrument i; and
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y,z
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=
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risk factors other than
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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