Commission Delegated Regulation (EU) No 528/2014 of 12 March 2014 supplementing R... (32014R0528)
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Commission Delegated Regulation (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach Text with EEA relevance
- COMMISSION DELEGATED REGULATION (EU) No 528/2014
- of 12 March 2014
- supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach
- (Text with EEA relevance)
- Article 1
- Determination of the Own funds requirements for the non-delta risk of options and warrants
- Article 2
- Conditions for application of the simplified approach
- Article 3
- Determination of own funds requirements according to the simplified approach
- Article 4
- Overview of determination of own funds requirements according to the Delta-plus approach
- Article 5
- Determination of the Own funds requirements for gamma risk according to the Delta-plus approach
- Article 6
- Determination of the Own funds requirements for vega risk according to the Delta-plus approach
- Article 7
- Conditions of application of the scenario approach
- Article 8
- Definition of the scenario matrix according to the scenario approach
- Article 9
- Determination of the own funds requirements according to the scenario approach
- Article 10
- Entry into force
- ANNEX I
- Formula to be used for the purposes of Article 5(2)
- ANNEX II
- Formula to be used for the purposes of Article 9(d)
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