[IMAGE]
Definitions over time (2)
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08/07/2022 – 09/01/2024 Article 325r, Capital Requirements Regulation (CRR) Scope: Article 325w Paragraph 5 SubParagraph 2 Table 3
$$S_{x_{k}} = \frac{V_{i}\left(\bar{x}_{ki} + 0.0001\overline{I}_{m}, y, z \dots\right) - V_{i}\left(\bar{x}_{ji}, y, z \dots\right)}{0.0001}$$ 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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25/12/2019 – 08/07/2022 Article 325r, Capital Requirements Regulation (CRR) Scope: Article 325w Paragraph 5 SubParagraph 2 Table 3
$$S_{\mathrm{x}_{\mathrm{k}}} = \frac{\mathrm{V}_{\mathrm{i}}(\overline{\mathrm{x}}_{\mathrm{ki}} + 0.0001 \overline{\mathrm{I}}_{\mathrm{m}}, \mathrm{y}, \mathrm{z} \dots) - \mathrm{V}_{\mathrm{i}}(\overline{\mathrm{x}}_{\mathrm{ji}}, \mathrm{y}, \mathrm{z} \dots)}{0.0001}$$ 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}.
Other definitions of this term in this act (1)
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Earlier definition records in this act (6)
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- Article 325r(3) Historical · definitions end 25/12/2019
- Article 325r(3) Historical · definitions end 25/12/2019
- Article 325r(3) Historical · definitions end 25/12/2019
- Article 325r(1) Historical · definitions end 25/12/2019
- Article 325r(1) Historical · definitions end 25/12/2019
- Article 325r(1) Historical · definitions end 25/12/2019
Used in (0 places in 0 provisions on 12/11/2026)
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