+Article 325s 1.
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Article 325s 1.
Institutions shall calculate the vega risk sensitivity of an option to a given risk factor k as follows:
where:
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sk
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=
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the vega risk sensitivity of an option;
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k
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=
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a specific vega risk factor, consisting of an implied volatility;
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volk
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=
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the value of that risk factor, which should be expressed as a percentage; and
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x,y
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=
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risk factors other than volk 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
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