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Article 383o - Correlations for foreign exchange risk

Article 383o
Correlations for foreign exchange risk

1.A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to delta foreign exchange risk factor across buckets.

2.A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to vega foreign exchange risk factor across buckets.

Official text · consolidated version 26/06/2026 (in force) Open full page ↗
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