+Article 383l Intra-bucket correlations for interest rate risk
---+Article 383l 1.
---+Article 383l 2.
---+Article 383l 3.

Article 383l Intra-bucket correlations for interest rate risk

1. Overview

,
Article 383l 1.

For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following:



Table 1

Bucket

1

2

3

4

5

1

100 %

91 %

72 %

55 %

31 %

2

 

100 %

87 %

72 %

45 %

3

 

 

100 %

91 %

68 %

4

 

 

 

100 %

83 %

5

 

 

 

 

100 %
Article 383l 2.
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency.
Article 383l 3.
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards