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+Article 325au Correlations across buckets for commodity risk |
Article 325au Correlations across buckets for commodity riskArticle 325au Correlations across buckets for commodity risk The correlation parameter γb c applying to the aggregation of sensitivities between different buckets shall be set at:
(a)
20 % where the two buckets fall within bucket numbers 1 to 10;
(b)
0 % where either of the two buckets is bucket number 11. 1. Overview
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
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