art_1__point_201__table__7

| = the sensitivities of the aggregate CVA to a reference credit spread rate risk factor; rcskt | = the value of the reference credit spread rate risk factor k at maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than ccskt in VCVA ; | = the sensitivities of the eligible hedge i to a reference credit spread rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than ccskt in the pricing function Vi .

← art_1__point_201__table__6 · All articles · art_1__point_201__table__8 →

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