RTS: Non-delta risk of options in standardised market risk approach
COMCMT1R-EP1R-C2R-EPCNCADO
Updated 151mo ago
This regulation sets out technical standards for calculating the 'non-delta' risk of options within the standardised approach for market risk. It ensures that banks accurately measure and report the risks associated with financial derivatives to maintain financial stability.
This affects credit institutions and investment firms that use the standardised approach to calculate their capital requirements for market risk.