+Article 383q 1.
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Article 383q 1.
Between two sensitivities WSk
and WSl
, resulting from risk exposures assigned to sector buckets 1 to 11 and 13 to 20, as set out in Article 383p(1), Table 1, the correlation parameter ρkl
shall be set as follows:
where:
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shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %;
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shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %;
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shall be equal to 1 where the two names are both in buckets 1 to 11 or are both in buckets 13 to 20, otherwise it shall be equal to 80 %.
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1. Übersicht
| Bezeichnung |
Regulierung |
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1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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