Version in force , Inserted +721 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
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 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
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.