y, z

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

Definitions over time (1)

1. 25/12/2019 – today applies on 12/11/2026 Article 325r, Capital Requirements Regulation (CRR) Scope: Whole act

   $$S_{x_{j}} = \frac{\mathrm{V}_{i}(\overline{\mathrm{x}}_{ji} + 0.0001 \overline{\mathrm{I}}_{m}, y, z \dots) - \mathrm{V}_{i}(\overline{\mathrm{x}}_{ji}, y, z \dots)}{0.0001}$$ the sensitivities to risk factors consisting of inflation risk and cross-currency basis shall be calculated as follows: where: [IMAGE] = the sensitivities to risk factors consisting of inflation risk and cross-currency basis; [IMAGE] = a vector of m components representing the implied inflation curve or the cross-currency basis curve for a given currency j with m being equal to the number of inflation or cross-currency related variables 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 = other variables in the pricing model.

Used in (10 places in 1 provisions on 12/11/2026)

Capital Requirements Regulation (CRR) (10 in 1)

Article 325r¹⁰