art_1__point_201__table__10

| = the sensitivities of the aggregate CVA to an implied volatility risk factor; volk | = the value of the implied volatility risk factor; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than volk in the pricing function VCVA ; | = the sensitivities of the eligible hedge instrument i to an implied volatility risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than volk in the pricing function Vi .

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