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art_1__point_90__table__8

Text with EEA relevance.
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (Text with EEA relevance.) · European Union

sk | = | the vega risk sensitivity of an option; k | = | a specific vega risk factor, consisting of an implied volatility; volk | = | the value of that risk factor, which should be expressed as a percentage; and x,y | = | risk factors other than volk in the pricing function Vi.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.