+Article 325at 2.

Article 325at 2.

The correlation parameter ρk l between two sensitivities WS k and WS l within the same bucket shall be set as follows:

ρkl = ρkl (commodity) · ρkl (tenor) · ρkl (basis)
where:
ρkl (commodity) shall be equal to 1 where the two commodities of sensitivities k and l are identical, otherwise it shall be equal to the intra-bucket correlations in Table 10;
ρkl (tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 99 %; and
ρkl (basis) shall be equal to 1 where the two sensitivities are identical in the delivery location of a commodity, otherwise it shall be equal to 99,90 %.

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards