- Question ID
-
2023_6935
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
325ay
- Paragraph
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2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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n/a
- Type of submitter
-
Individual
- Subject matter
-
rho_delta used for aggregation non GIRR Vega sensitivities
- Question
-
In cases where the dimensions of the volatility curve and the underlying curve is not aligned, what should be used a rho_delta for aggregation of Vega sensitivities in such cases?
- Background on the question
-
BCBS MAR21.94 FAQ -1
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the question is not sufficiently clear, or has not sufficiently identified a provision of a legal framework covered by this tool that creates uncertainty and for which an explanation is merited in terms or practical implementation or application.
The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'
- Status
-
Rejected question