|
+Article 383m Correlation across buckets for interest rate risk |
Article 383m Correlation across buckets for interest rate riskArticle 383m Correlation across buckets for interest rate risk The cross-bucket correlation parameter for interest rate delta and vega risks shall be set at 0,5 for all currency pairs. 1. Overview
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
|