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Article 325ar - Correlations across buckets for equity risk

Article 325ar
Correlations across buckets for equity risk

The correlation parameter γb c shall apply to the aggregation of sensitivities between different buckets. It shall be set at 15 % where the two buckets fall within buckets 1 to 10.

Official text · consolidated version 27/06/2019 (no longer in force) Open full page ↗
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