the sensitivities to risk factors consisting of equity repo rates

Defined in Article 325r, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 09/01/2024 – today applies on 11/11/2026 Article 325r, Capital Requirements Regulation (CRR) Scope: Article 325w Paragraph 5 SubParagraph 2 Table 2

   $$S_{x_k} = \frac{V_i(\bar{x}_{ki} + 0.0001\bar{I}_m, y, z \dots) - V_i(\bar{x}_{ji}, y, z \dots)}{0.0001}$$ the sensitivities to risk factors consisting of equity repo rates shall be calculated as follows: where: [IMAGE] = the sensitivities to risk factors consisting of equity repo rates; k = the index that denotes the equity; [IMAGE] = a vector of m components representing the repo term structure for a specific equity k with m being equal to the number of repo rates corresponding to different maturities used in the pricing model of instrument i; [IMAGE] = the unity matrix of dimension (1 · m); V_{i} (.) = the pricing function of the instrument i; and y,z = risk factors other than [IMAGE] in the pricing function V_{i}.

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