Article 383 › 2

When calculating the own funds requirements for CVA risk for a counterparty, an institution shall base all inputs into its internal model for specific risk of debt instruments on the following formulae (whichever is appropriate): (a) where the model is based on full repricing, the formula in paragraph 1 shall be used directly; (b) where the model is based on credit spread sensitivities for specific tenors, an institution shall base each credit spread sensitivity (‧Regulatory CS01‧) on the following formula: For the final time bucket i=T, the corresponding formula is (c) where the model uses credit spread sensitivities to parallel shifts in credit spreads, an institution shall use the following formula: (d) where the model uses second-order sensitivities to shifts in credit spreads (spread gamma), the gammas shall be calculated based on the formula in paragraph 1.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04