+Article 383w Correlations across buckets for equity risk

Article 383w Correlations across buckets for equity risk

Article 383w

Correlations across buckets for equity risk

The cross-bucket correlation parameter for equity delta and vega risk shall be set at:

(a)

15 %, where the two buckets fall within buckets 1 to 10 in Article 383v(1), Table 1;

(b)

75 %, where the two buckets are buckets 12 and 13 in Article 383v(1), Table 1;

(c)

45 %, where one of the buckets is bucket 12 or 13 in Article 383v(1), Table 1, and the other bucket falls within buckets 1 to 10 in Article 383v(1), Table 1;

(d)

0 %, where one of the two buckets is bucket 11 in Article 383v(1), Table 1.

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
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