+Artikel 325ai Innerhalb der Unterklasse anwendbare Korrelationen des Kreditspreadrisikos bei Nicht-Verbriefungspositionen
---+Article 325ai 1.
---+Article 325ai 2.

Artikel 325ai Innerhalb der Unterklasse anwendbare Korrelationen des Kreditspreadrisikos bei Nicht-Verbriefungspositionen

-

1. Übersicht

,
Article 325ai 1.

The correlation parameter ρk l between two sensitivities WS k and WS l within the same bucket shall be set as follows:

ρkl = ρkl (name) · ρkl (tenor) · ρkl (basis)
where:

▼M17

ρkl (name) shall be equal to 1 where the two names of sensitivities k and l are identical; it shall be equal to 35 % where the two names of sensitivities k and l are in buckets 1 to 18 in Article 325ah(1), Table 4, otherwise it shall be equal to 80 %;

▼M8

ρkl (tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 65 %; and
ρkl (basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,90 %.
Article 325ai 2.

The correlation parameters referred to in paragraph 1 of this Article shall not apply to bucket 18 in Table 4 of Article 325ah(1). The capital requirement for the delta risk aggregation formula within bucket 18 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:

image

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
  • EULAW -

    EN: Legal acts of the European Union from EUR-Lex, https://eur-lex.europa.eu/. © European Union. Re-use is authorised by Decision 2011/833/EU, provided the source is acknowledged; the consolidated texts are licensed under CC BY 4.0 (EUR-Lex legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the legislation published in the Official Journal of the European Union is deemed authentic.

    DE: Rechtsakte der Europäischen Union aus EUR-Lex, https://eur-lex.europa.eu/. © Europäische Union. Weiterverwendung nach Beschluss 2011/833/EU mit Quellenangabe gestattet; die konsolidierten Fassungen stehen unter CC BY 4.0 (Rechtlicher Hinweis von EUR-Lex). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Verbindlich sind allein die im Amtsblatt der Europäischen Union veröffentlichten Rechtsakte.