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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 383w CELEX: 02013R0575-20250629 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. |