Regulatory and internal model validation services from CompatibL
- The delta buckets are replicated in the vega context.
- The bucket remains at the first level of aggregation between vega risk positions within a risk class.
- The risk of market illiquidity is incorporated into the determination of vega risk factors, through the assignment of different liquidity horizons for each risk class.
- The risk weight for a given vega risk factor
is determined by the following function:
where: is set at 55% and is the regulatory liquidity horizon to be prescribed in the determination of each vega risk factor .