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:
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 |
Risk weights |
|---|---|---|
|
GIRR |
60 |
100 % |
|
CSR non-securitisations |
120 |
100 % |
|
CSR securitisations (ACTP) |
120 |
100 % |
|
CSR securitisations (non-ACTP) |
120 |
100 % |
|
Equity (large cap and indices) |
20 |
77,78 % |
|
Equity (smal |