+Articolul 383t Corelațiile din cadrul unei benzi pentru riscul de marjă de credit de referință
---+Article 383t 1.
---+Article 383t 2.
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Articolul 383t Corelațiile din cadrul unei benzi pentru riscul de marjă de credit de referință
1. Prezentare generală
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Reglementare |
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Article 383t 1.
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Between two sensitivities WSk
and WSl
, resulting from risk exposures assigned to sector buckets 1 to 10, 12 to 18 and 20 of Article 383s(1), Table 1, the correlation parameter ρkl
shall be set as follows:
where:
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shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %;
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shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %;
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shall be equal to 1 where the two names are both in buckets 1 to 10, are both in buckets 12 to 18, or are both in bucket 20, otherwise it shall be equal to 80 %.
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Article 383t 2.
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Between two sensitivities WSk
and WSl
, resulting from risk exposures assigned to sector buckets 11 and 19, the correlation parameter ρkl
shall be set as follows:
where:
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shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %;
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shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90 % if the two indices are the same but of distinct series, otherwise it shall be equal to 80 %;
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shall be equal to 1 where the two names are both in bucket 11 or both in bucket 19, otherwise it shall be equal to 80 %.
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1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
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