+Articolul 325h Agregarea cerințelor de fonduri proprii specifice unei clase de risc pentru riscurile delta, vega și de curbură
---+Article 325h 1.
---+Article 325h 2.
---+Article 325h 3.
---+Article 325h 4.
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Articolul 325h Agregarea cerințelor de fonduri proprii specifice unei clase de risc pentru riscurile delta, vega și de curbură
1. Prezentare generală
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Reglementare |
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Article 325h 1.
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Institutions shall aggregate risk-class specific own funds requirements for delta, vega and curvature risks in accordance with the process set out in paragraphs 2, 3 and 4.
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Article 325h 2.
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The process to calculate the risk-class specific own funds requirements for delta, vega and curvature risks described in Articles 325f and 325g shall be performed three times per risk class, each time using a different set of correlation parameters ρkl (correlation between risk factors within a bucket) and γbc (correlation between buckets within a risk class). Each of those three sets shall correspond to a different scenario, as follows:
(a)
the medium correlations scenario, whereby the correlation parameters ρkl and γbc remain unchanged from those specified in Section 6;
(b)
the high correlations scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be uniformly multiplied by 1,25, with ρkl and γbc subject to a cap at 100 %;
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(c)
the ‘low correlations’ scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be replaced by  and , respectively.
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Article 325h 3.
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Institutions shall calculate the sum of the delta, vega and curvature risk-class specific own funds requirements for each scenario to determine three scenario-specific, own funds requirements.
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Article 325h 4.
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The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.
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1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
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