CA-5.4 CA-5.4 General risk calculation
CA-5.4.1
The general market risk is the difference between the sum of the long positions and the sum of the short positions (i.e. the overall net position) in each national equity market. In other words, to calculate the general market risk, the bank should sum the market value of its individual net positions for each national market, as determined in accordance with Section CA-5.2, taking into account whether the positions are long or short.
October 07CA-5.4.2
The general market equity risk measure is 8% of the overall net position in each national market.
October 07
