art_1__point_201__point_a__8__table

| = the sensitivities of the aggregate CVA to a risk-free rate risk factor; rkt | = the value of the risk-free rate risk factor k with maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than rkt in VCVA ; | = the sensitivities of the eligible hedge i to a risk-free rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than rkt in the pricing function Vi ;

← (a) · All articles · (b) →

Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.