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Article 325g - Own funds requirements for curvature risk

Article 325g

Own funds requirements for curvature risk

1.  
Institutions shall perform the calculations laid down in paragraph 2 for each risk factor of the instruments subject to the own funds requirement for curvature risk, except for the risk factors referred to in paragraph 3.

For a given risk factor, institutions shall perform those calculations on a net basis across all the positions of the instruments subject to the own funds requirement for curvature risk that contain that risk factor.

2.  
For a given risk factor k included in one or more instruments referred to in paragraph 1, institutions shall calculate the upward net curvature risk position of that risk factor (image) and the downward net curvature risk position of that risk factor (image) as follows:

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