Page 30 - CCFA Journal - 11th Issue
P. 30
金融监管 Regulation 加中金融
Where:
l takes the value of 94% when calculating the capital requirement across pairs of cryptoassets in the same bucket.
其中 l 将取同一桶中各对加密资产的 94% 的值。
The delta capital requirement for the Group 2(a) cryptoasset risk class is the sum of the capital requirements for each individual
bucket (∑b Kb). It is important to note that there is no recognition of diversification between different Group 2(a) cryptoassets
when calculating the capital requirement.
This approach ensures that the delta sensitivities for Group 2(a) cryptoassets are calculated in a comprehensive manner,
considering the risk factor structure and taking into account the specific characteristics and time-to-maturity dimensions of the
assets.
Group 2(a)加密资产风险类别的 Delta 资本要求是每个单独桶（∑b Kb）的资本要求之和。需要注意的是，在计算资本要求
时，不承认不同 Group 2(a)加密资产之间的分散效应。这种方法确保了对 Group 2(a)加密资产的 Delta 敏感性进行全面计算，
考虑到风险因子结构，并考虑了资产的特定特征和到期时间维度。
The vega sensitivity for Group 2(a) cryptoassets is calculated as the product of Vega and the implied volatility. The calculation is
performed along the maturity dimension, considering specific periods such as 0.5 years, 1 year, 3 years, 5 years, and 10 years.
Similar to the delta capital requirement, the within bucket and across bucket aggregation method for vega capital is identical. The
value l, representing the correlation factor, remains the same as used in the delta capital calculation. This correlation factor is set
to a value of 94% when calculating the capital requirement, considering pairs of cryptoassets within the same bucket.
The vega capital requirement is determined by aggregating the vega sensitivities within each bucket, taking into account the implied
volatility and the specified maturity periods. The same aggregation method, including the correlation factor, is applied across
buckets.
Group 2(a)加密资产的 Vega 敏感性是以 Vega 值和隐含波动率的乘积计算而得。该计算沿着到期时间维度进行，考虑到 0.5
年、1 年、3 年、5 年和 10 年等特定时期。
与 Delta 资本要求类似，Vega 资本的单个桶内和桶间聚合方法是相同的。在计算资本要求时，相关系数 l 的值保持不变，
仍然为 94%。该相关系数用于同一桶内的加密资产对之间的计算。
Vega 资本要求通过聚合每个桶内的 Vega 敏感性来确定，考虑了隐含波动率和指定的到期时间段。在不同桶之间也采用相
同的聚合方法，包括相关系数。
To calculate the curvature risk capital requirement for Group 2(a) cryptoassets, the delta buckets specified earlier (exchange)
should be utilized. The curvature sensitivities are determined by shifting all tenors in parallel by 1%, which is the same shock applied
to the delta sensitivity.
When aggregating curvature risk positions within a bucket, the following formula should be used, taking the higher of the positive
and negative curvature risk position:
Curvature risk capital requirement = max(|Curvature Risk Position+|, |Curvature Risk Position-|)
In this formula:
Curvature Risk Position+ represents the positive curvature risk position within the bucket.
Curvature Risk Position- represents the negative curvature risk position within the bucket.
By taking the higher absolute value between the positive and negative curvature risk positions, the formula ensures that the
potential curvature risk is adequately captured for capital requirement calculations.
为了计算 Group 2(a)加密资产的曲率风险资本要求，应使用先前指定的 Delta 桶（交易所）。曲率敏感性是通过将所有期
限同时平行调整 1%来确定的，这与 Delta 敏感性所应用的冲击相同。
在桶内聚合曲率风险头寸时，应使用以下公式，取正曲率风险头寸和负曲率风险头寸中的较高者：
曲率风险资本要求 = max(|曲率风险头寸+|, |曲率风险头寸-|)
在该公式中：
曲率风险头寸+ 表示桶内的正曲率风险头寸。
曲率风险头寸- 表示桶内的负曲率风险头寸。
通过取正曲率风险头寸和负曲率风险头寸的较高绝对值，该公式确保了在资本要求计算中充分捕捉到潜在的曲率风险。
CCFA JOURNAL OF FINANCE July 2023
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