Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

Article 325ax Vega and curvature risk weights

1. Vega risk factors shall use the delta buckets referred to in Subsection 1.

2. The risk weight for a given vega risk factor k shall be determined as a share of the current value of that risk factor k which represents the implied volatility of an underlying, as described in Section 3.

3. The share referred to in paragraph 2 shall be made dependent on the presumed liquidity of each type of risk factor in accordance with the following formula:

where:

RWk = the risk weight for a given vega risk factor k;

RWσ shall be set at 55 %; and

LHrisk class is the regulatory liquidity horizon to be prescribed in the determination of each vega risk factor k. LHrisk class is determined in accordance with the following table:

Table 11

Risk class

LHrisk class

GIRR

60

CSR non-securitisations

120

CSR securitisations (ACTP)

120

CSR securitisations (non-ACTP)

120

Equity (large cap)

20

Equity (small cap)

60

Commodity

120

Foreign exchange

40

4. Buckets used in the contex