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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 325aw CELEX: 02013R0575-20250629 Correlations for foreign exchange risk
A uniform correlation parameter γb c equal to 60 % shall apply to the aggregation of sensitivities to foreign exchange risk factors. |