+Article 325ag Correlations across buckets for general interest rate risk
---+Article 325ag 1.
---+Article 325ag 2.

Article 325ag Correlations across buckets for general interest rate risk

1. Overview

,
Article 325ag 1.
The parameter γbc = 50 % shall be used to aggregate risk factors belonging to different buckets.
Article 325ag 2.
The parameter γbc = 80 % shall be used to aggregate an interest rate risk factor based on a currency as referred to in Article 325av(3) and an interest rate risk factor based on the euro.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards