The bucket-specific sensitivity shall be calculated in accordance with paragraphs 5, 6 and 7 of this Article for each bucket within a risk class. Once the bucket-specific sensitivity has been calculated for all buckets, weighted sensitivities to all risk factors across buckets shall be aggregated in accordance with the following formula, using the corresponding correlations γbc
for weighted sensitivities in different buckets set out in Articles 383l, 383o, 383r, 383u, 383w and 383z giving rise to the risk-class specific own funds requirements for delta or vega risk:
where:
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mCVA
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= a multiplier factor which is equal to 1; the competent authority may increase the value of mCVA
where the institution’s regulatory CVA model shows deficiencies preventing the appropriate measurement of the own funds requirements for CVA risk;
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Kb
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= the bucket-specific sensitivity of bucket b;
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γbc
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= the correlation parameter between buckets b and c;
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for all risk factors in bucket b;
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for all risk factors in bucket c.
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