+Article 383z Correlations across buckets for commodity risk
---+Article 383z 1.
---+Article 383z 2.

Article 383z Correlations across buckets for commodity risk

1. Overview

,
Article 383z 1.

The cross-bucket correlation parameter for commodity delta risk shall be set at:

(a) 

20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1;

(b) 

0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.
Article 383z 2.

The cross-bucket correlation parameter for commodity vega risk shall be set at:

(a) 

20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1;

(b) 

0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards