+Articolul 383f Factorii de risc de marjă de credit de referință
---+Article 383f 1.
---+Article 383f 2.

Articolul 383f Factorii de risc de marjă de credit de referință

1. Prezentare generală

,
Article 383f 1.
The reference credit spread delta risk factors applicable to reference credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of all maturities for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.
Article 383f 2.
The reference credit spread vega risk factors applicable to instruments in the CVA portfolio sensitive to reference credit spread volatility shall be the volatilities of the credit spreads of all tenors for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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