+Article 383o Correlations for foreign exchange risk
---+Article 383o 1.
---+Article 383o 2.
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Article 383o Correlations for foreign exchange risk
1. Overview
| Summary |
Regulation |
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Article 383o 1.
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A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to delta foreign exchange risk factor across buckets.
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Article 383o 2.
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A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to vega foreign exchange risk factor across buckets.
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1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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