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+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. Prezentare generală
1.1 Referințe1.2 Cerințe identificate1.3 Standarde asociate2. Cerințe identificate
3. Standarde asociate
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