+Article 383i 1.
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Article 383i 1.
Institutions shall calculate delta sensitivities consisting of interest rate risk factors as follows:
(a)
the delta sensitivities of the aggregate CVA to risk factors consisting of risk-free rates, as well as of an eligible hedge to those risk factors, shall be calculated as follows:
where:
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= the sensitivities of the aggregate CVA to a risk-free rate risk factor;
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rkt
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= the value of the risk-free rate risk factor k with maturity t;
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VCVA
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= the aggregate CVA calculated by the regulatory CVA model;
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x,y
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= risk factors other than rkt
in VCVA
;
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= the sensitivities of the eligible hedge i to a risk-free rate risk factor;
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Vi
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= the pricing function of the eligible hedge i;
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w,z
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= risk factors other than rkt
in the pricing function Vi
;
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(b)
the delta sensitivities to risk factors consisting of inflation rates as well as of an eligible hedge to those risk factors, shall be calculated as follows:
where:
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= the sensitivities of the aggregate CVA to an inflation rate risk factor;
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inflkt
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= the value of an inflation rate risk factor k with maturity t;
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VCVA
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= the aggregate CVA calculated by the regulatory CVA model;
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x,y
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= risk factors other than inflkt
in VCVA
;
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= the sensitivities of the eligible hedge i to an inflation rate risk factor;
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Vi
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= the pricing function of the eligible hedge i;
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w,z
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= risk factors other than inflkt
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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