+Article 325ay 1.

Article 325ay 1.

Between vega risk sensitivities within the same bucket of the general interest rate risk (GIRR) class, the correlation parameter ρkl shall be set as follows:.

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where:

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shall be equal to

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where α shall be set at 1 %, Tk and Tl shall be equal to the maturities of the options for which the vega sensitivities are derived, expressed as a number of years; and

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is equal to

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, where α is set at 1 %,

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and

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shall be equal to the maturities of the underlyings of the options for which the vega sensitivities are derived, minus the maturities of the corresponding options, expressed in both cases as a number of years.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards