Article 2 | Delegated Regulation 528/2014 | judict

Updated 20/01/2025

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Version from: 02/06/2016

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CRR Tool Delegated Regulation 528/2014

Article 2

Article 2

Article 2

Only institutions that exclusively purchase options and warrants may use the simplified approach.

Table of contents

Recitals Article 1 - Determination of the Own funds requirements for the non-delta risk of options and warrants Q&A Article 2 Article 3 - Determination of own funds requirements according to the simplified approach Q&A Article 4 - Overview of determination of own funds requirements according to the Delta-plus approach Q&A Article 5 - Determination of the Own funds requirements for gamma risk according to the Delta-plus approach Q&A Article 6 - Determination of the Own funds requirements for vega risk according to the Delta-plus approach Article 7 - Conditions of application of the scenario approach Article 8 - Definition of the scenario matrix according to the scenario approach Article 9 - Determination of the own funds requirements according to the scenario approach Q&A Article 10 - Entry into force ANNEX I ANNEX II