c) CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

c)

CRR

REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Verwendet das Modell Kreditspread-Sensitivitäten zur Modellierung paralleler Kreditspread-Verschiebungen, so stützt sich das Institut auf folgende Formel: Regulatory CS01 = 0.0001 · Σ_(i=1)^(T)(t_(i) · exp(– (s_(i) · t_(i) / LGD_(MKT))) – t_(i – 1) · exp(– (s_(i – 1) · t_(i – 1) / LGD_(MKT)))) · (EE_(i – 1) · D_(i – 1) + EE_(i) · D_(i) / 2)

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.