+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:

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where:

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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

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shall be set in accordance with paragraph 1.

1. Prezentare generală

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1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde