Explore European Union Legislation by Asking a Legal Question
assisted-checkbox
filter-instruction-1
positive-filters
negative-filters
act-filter tabs-all
parameters-title
query
assisted-checkbox: ✅
result-title
total 1
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 383j CELEX: 02013R0575-20250629 Vega risk sensitivities
Institutions shall calculate the vega risk sensitivities of the aggregate CVA to risk factors consisting of implied volatility, as well as of an eligible hedge instrument to those risk factors, as follows:
where:
= the sensitivities of the aggregate CVA to an implied volatility risk factor;
volk = the value of the implied volatility risk factor;
VCVA = the aggregate CVA calculated by the regulatory CVA model;
x,y = risk factors other than volk in the pricing function VCVA ;
= the sensitivities of the eligible hedge instrument i to an implied volatility risk factor;
Vi = the pricing function of the eligible hedge i;
w,z = risk factors other than volk in the pricing function Vi . |