+Article 325af 2.

Article 325af 2.

Between two weighted sensitivities of general interest rate risk factors WSk and WSl within the same bucket, corresponding to the same curve, but having different maturities, correlation shall be set in accordance with the following formula:

image

where:

Tk (respectivelyTl)

=

the maturity that relates to the risk free rate;

θ

=

3 %

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards