EBU Single Rulebook Q&A 13 October 2014 2014_1545 Calculation of volatility adjustments where liquidation period not given in CRR tables
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European Union · · · 28-11-2014
Where there is a situation where a volatility adjustment is required that does not have a liquidation period given in the tables under Article 224 of Regulation (EU) No 575/2013 (CRR), how should the volatility adjustment be calculated - by use of the formula per Article 225, using the values from one of the liquidation periods in the tables in Article 224 as a basis to calculate other values?
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