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Breadcrumb

  1. Home
  2. Interactive Single Rulebook
  3. Capital Requirements Regulation (CRR)
  4. PART THREE
  5. TITLE IV
  6. CHAPTER 1a
  7. Section 2
  8. Article 325e

Article 325e

Description
Components of the sensitivities-based method
Links
  • Question & Answers
Source
EUR-Lex
Question & Answers

Paragraph

All

Links

  • 2024_7006 Vega and curvature risk requirements for positions in instruments without exercisable optionality that are sensitive to vega risk factors
  • 2024_7149 Perfectly matched back-to-back bought and sold options under market risk capital requirement - sensitivities-based method for calculating the own funds requirement.

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EUROPEAN BANKING AUTHORITY

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