+Section 6 Risk weights and correlations
---+Subsection 1 Delta risk weights and correlations
------+Article 325ae Risk weights for general interest rate risk
---------+Article 325ae 1.
---------+Article 325ae 2.
---------+Article 325ae 3.
------+Article 325af Intra bucket correlations for general interest rate risk
---------+Article 325af 1.
---------+Article 325af 2.
---------+Article 325af 3.
---------+Article 325af 4.
---------+Article 325af 5.
------+Article 325ag Correlations across buckets for general interest rate risk
---------+Article 325ag 1.
---------+Article 325ag 2.
------+Article 325ah Risk weights for credit spread risk for non-securitisations
---------+Article 325ah 1.
---------+Article 325ah 2.
---------+Article 325ah 3.
------+Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
---------+Article 325ai 1.
---------+Article 325ai 2.
------+Article 325aj Correlations across buckets for credit spread risk for non-securitisations
------+Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP
------+Article 325al Correlations for credit spread risk for securitisations included in the ACTP
---------+Article 325al 1.
---------+Article 325al 2.
------+Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
---------+Article 325am 1.
---------+Article 325am 2.
---------+Article 325am 3.
------+Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
---------+Article 325an 1.
---------+Article 325an 2.
------+Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
---------+Article 325ao 1.
---------+Article 325ao 2.
------+Article 325ap Risk weights for equity risk
---------+Article 325ap 1.
---------+Article 325ap 2.
---------+Article 325ap 3.
---------+Article 325ap 4.
------+Article 325aq Intra-bucket correlations for equity risk
---------+Article 325aq 1.
---------+Article 325aq 2.
---------+Article 325aq 3.
---------+Article 325aq 4.
---------+Article 325aq 5.
------+Article 325ar Correlations across buckets for equity risk
------+Article 325as Risk weights for commodity risk
------+Article 325at Intra-bucket correlations for commodity risk
---------+Article 325at 1.
---------+Article 325at 2.
---------+Article 325at 3.
---------+Article 325at 4.
------+Article 325au Correlations across buckets for commodity risk
------+Article 325av Risk weights for foreign exchange risk
---------+Article 325av 1.
---------+Article 325av 2.
---------+Article 325av 3.
---------+Article 325av 4.
---------+Article 325av 5.
------+Article 325aw Correlations for foreign exchange risk
---+Subsection 2 Vega and curvature risk weights and correlations
------+Article 325ax Vega and curvature risk weights
---------+Article 325ax 1.
---------+Article 325ax 2.
---------+Article 325ax 4.
---------+Article 325ax 5.
---------+Article 325ax 6.
------+Article 325ay Vega and curvature risk correlations
---------+Article 325ay 1.
---------+Article 325ay 2.
---------+Article 325ay 3.
---------+Article 325ay 4.
---------+Article 325ay 5.

Section 6 Risk weights and correlations

Section 6 Risk weights and correlations

1. Overview

,
Subsection 1 Delta risk weights and correlations Subsection 1 Delta risk weights and correlations
Subsection 2 Vega and curvature risk weights and correlations Subsection 2 Vega and curvature risk weights and correlations

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

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