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Article 183 - Calculation of the capital requirement for market risk concentration

Comparing 18/01/2015 → 02/04/2016: 0 added, 0 removed, 6 changed Close comparison

1. 1. The capital requirement for market risk concentration shall be equal to the following:

\mathrm{SCR}_{\text{conc}} = \sqrt{\sum_{\mathrm{i}} \mathrm{Conc}_{\mathrm{i}}^{2}}

where:

(a)((a)) the sum covers all single name exposuresi;exposures i;

(b)((b)) ConcidenotesConc_{i} denotes the capital requirement for market risk concentration on a single name exposurei.exposure i.

2. 2. For each single name exposure i,i , the capital requirement for market risk concentration Conc_{i}Conc i shall be equal to the loss in the basic own funds that would result from an instantaneous decrease in the value of the assets corresponding to the single name exposure i equal to the following:

\mathrm{XS}_{i} \cdot \mathrm{g}_{i}

where:

(a)((a)) XSiisXS_{i} is the excess exposure referred to in Article 184;

(b)((b)) giisg_{i} is the risk factor for market risk concentration referred to in Articles 186 and 187;

Official text · consolidated version 02/04/2016 (no longer in force) Open full page ↗
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