+Article 325r 5.

Article 325r 5.

Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:

image

where:

sk

=

the delta foreign exchange risk sensitivities;

k

=

a given foreign exchange risk factor;

FXk

=

the value of the risk factor;

▼C7

Vi (.)

=

the pricing function of instrument i; and

▼M8

y, z

=

risk factors other than FXk in the pricing model of instrument i.

1. Prezentare generală

,

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde