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+Article 325ar Correlations across buckets for equity risk |
Article 325ar Correlations across buckets for equity riskArticle 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
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
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