+Article 325an 1.

Article 325an 1.

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

ρkl = ρkl (tranche) · ρkl (tenor) · ρkl (basis)
where:
►C7  ρkl (tranche) shall be equal to 1 where ◄ the two names of sensitivities k and l are within the same bucket and are related to the same securitisation tranche (more than 80 % overlap in notional terms), otherwise it shall be equal to 40 %;
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 80 %; 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 %.

1. Übersicht

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1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards