= the delta sensitivity of instrument i with respect to the delta risk factor that corresponds to curvature risk factor k.
Other risks, apart from the delta risk, associated with options shall be safeguarded against.
Other risks, apart from the delta risk, associated with commodity options shall be safeguarded against.
The curvature risk correlations shall be the square of corresponding delta risk correlations γbc referred to in subsection 1.
The curvature risk correlations shall be the square of corresponding delta risk correlations γbc referred to in subsection 1.
Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Article 325iAggregation of risk-class specific own funds requirements for delta, vega and curvature risks
sk = the delta foreign exchange risk sensitivities;
The delta buckets referred to in subsection 1 shall be applied to vega risk factors.
The risk-class specific own funds requirements for delta or vega risk shall be calculated for each risk class in accordance with paragraphs 1 to 8.
Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:
Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:
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.
Institutions shall aggregate risk-class specific own funds requirements for the delta, vega and curvature risks in accordance with the process set out in paragraphs 2 and 3.
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.
the delta credit spread risk sensitivities for all securitisation and non-securitisation positions;
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 ▌.
For foreign exchange and curvature risk factors, the curvature risk weights shall be relative shifts equal to the delta risk weights referred to in subsection 1.
Institutions shall apply the delta and vega risk factors described in Subsection 1 of Section 3 to calculate the own funds requirements for delta and vega risks.
Institutions shall apply the delta and vega risk factors described in subsection 1 of Section 3 of this Chapter to calculate the own fund requirements for delta and vega risks.
Requêtes fréquentes français :1-200, -1k, -2k, -3k, -4k, -5k, -7k, -10k, -20k, -40k, -100k, -200k, -500k, -1000k, -2000k,
Requêtes fréquentes anglais :1-200, -1k, -2k, -3k, -4k, -5k, -7k, -10k, -20k, -40k, -100k, -200k, -500k, -1000k, -2000k,
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