Art. 383j

in force 2025-01-01 INSERTED+721 −0§

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unknown (an inserted provision states its own application date only in prose)

Article 383j is an entirely new provision setting out how institutions are to calculate vega risk sensitivities of the aggregate CVA and of eligible hedge instruments to implied volatility risk factors, including the formula elements and definitions used in that calculation.

Cited: Art. 383j, v2

Article 383j
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.

in force 2024-07-09 INSERTED§

Amended by Regulation (EU) 2024/1623 32024R1623

applies from: unknown

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