Article 325d
- Description
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Definitions
- Main content
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For the purposes of this Chapter, the following definitions apply:
(1) ‘risk class’ means one of the following seven categories:
(i) general interest rate risk;\
(ii) credit spread risk (CSR) for non-securitisation;
(iii) credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR);
(iv) credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR);
(v) equity risk;
(vi) commodity risk;
(vii) foreign exchange risk;
(2) ‘sensitivity’ means the relative change in the value of a position, as a result of a change in the value of one of the relevant risk factors of the position, calculated with the institution's pricing model in accordance with Subsection 2 of Section 3;
(3) ‘bucket’ means a sub-category of positions within one risk class with a similar risk profile to which a risk weight as defined in Subsection 1 of Section 3 is assigned.