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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 325ar CELEX: 02013R0575-20250629 Correlations across buckets for equity risk
The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets.
It shall be set in relation to the buckets of Table 8 in Article 325ap as follows: (a) 15 % where the two buckets fall within bucket numbers 1 to 10; (b) 0 % where either of the two buckets fall within bucket number 11; (c) 75 % where the two buckets fall within bucket number 12 and 13; (d) 45 % otherwise. |