Open on EUR-Lex ↗

Article 383w - Correlations across buckets for equity risk

Article 383w
Correlations across buckets for equity risk

The cross-bucket correlation parameter for equity delta and vega risk shall be set at:

(a)

15 %, where the two buckets fall within buckets 1 to 10 in Article 383v(1), Table 1;

(b)

75 %, where the two buckets are buckets 12 and 13 in Article 383v(1), Table 1;

(c)

45 %, where one of the buckets is bucket 12 or 13 in Article 383v(1), Table 1, and the other bucket falls within buckets 1 to 10 in Article 383v(1), Table 1;

(d)

0 %, where one of the two buckets is bucket 11 in Article 383v(1), Table 1.

Official text · consolidated version 26/06/2026 (in force) Open full page ↗
4 queries · page built in 20 msInventory f82bbfa3