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Article 325au - Correlations across buckets for commodity risk

Article 325au
Correlations across buckets for commodity risk

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.

Official text · consolidated version 28/06/2023 (no longer in force) Open full page ↗
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