Cross-gamma impact included in the gamma impact?

EBA Q&A 2022_6482 · Rejected question

Question

In determination of the Own funds requirements for gamma risk according to the Delta-plus approach, should institutions take account of cross-gamma effect?

Background on the question

According to COMMISSION DELEGATED REGULATION (EU) No 528/2014 only the gamma and vega risks are of such materiality that justify the imposition of own funds capital requirements, however it is not specify if cross-gamma is included in gamma or no.

Answer

This question has been rejected because the issue it deals with is already explained or addressed in the regulatory framework.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.

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