The correlation parameter γb c applying to the aggregation of sensitivities between different buckets shall be set at:
(a)
20 % where the two buckets fall within bucket numbers 1 to 10;
(b)
0 % where either of the two buckets is bucket number 11.
The correlation parameter γb c applying to the aggregation of sensitivities between different buckets shall be set at:
20 % where the two buckets fall within bucket numbers 1 to 10;
0 % where either of the two buckets is bucket number 11.