+Article 325ar Correlations across buckets for equity risk

Article 325ar Correlations across buckets for equity risk

Article 325ar

Correlations across buckets for equity risk

The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets.

It shall be set in relation to the buckets of Table 8 in Article 325ap as follows:

(a) 

15 % where the two buckets fall within bucket numbers 1 to 10;

(b) 

0 % where either of the two buckets fall within bucket number 11;

(c) 

75 % where the two buckets fall within bucket number 12 and 13;

(d) 

45 % otherwise.

1. Overview

,
Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement
  • 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.