EBA · 2023_6935 Rejected question

rho_delta used for aggregation non GIRR Vega sensitivities

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325ay, para. 2
Topic
Market risk
Submitted by
Individual
Submitted
2023-12-21
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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

BCBS MAR21.94 FAQ -1
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6935

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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