+Article 325ay 2.

Article 325ay 2.

Between vega risk sensitivities within a bucket of the other risk classes, the correlation parameter ρkl shall be set as follows:

where:

shall be equal to the delta intra-bucket correlation corresponding to the bucket to which vega risk factors k and l would be allocated; and

shall be set in accordance with paragraph 1.

1. Overview

Summary	Regulation

Requirements
Source	Requirement

Standards
Source	Requirement