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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 383m CELEX: 02013R0575-20250629 Correlation across buckets for interest rate risk
The cross-bucket correlation parameter for interest rate delta and vega risks shall be set at 0,5 for all currency pairs. |