The net-weighted sensitivities within the same bucket shall be aggregated in accordance with the following formula, using the corresponding correlations ρkl
to weighted sensitivities within the same bucket set out in Articles 383l, 383t and 383q giving rise to the bucket-specific sensitivity Kb
:
where:
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Kb
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= the bucket-specific sensitivity of bucket b;
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WSk
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= the net-weighted sensitivities;
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ρkl
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= the corresponding intra-bucket correlation parameters;
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R
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= the hedging disallowance parameter equal to 0,01 .
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