Updated 20/05/2024
In force since 09/06/2014

Version from: 02/06/2016
References (7)
eba.europa.eu/regulatory-technical-standards-definition-material-risk-takers-remuneration-purposes
eba.europa.eu/regulatory-technical-standards-non-delta-risk-options-standardised-market-risk-approach
01/06/2016
Amendment: Delegated Regulation 2016/861 published in OJ
16/07/2015
EBA/RTS/2015/09
Final Draft published
20/05/2014
Delegated Regulation 528/2014 published in OJ
17/12/2013
EBA/RTS/2013/13
Final Draft published
22/05/2013
EBA/CP/2013/16
Consultation published
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CRR ToolDelegated Regulation 528/2014

Delegated Regulation 528/2014

Commission Delegated Regulation (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (Text with EEA relevance)

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