CRR › Article 383z
Article 383z Correlations across buckets for commodity risk
official text, verbatim
1
The cross-bucket correlation parameter for commodity delta risk shall be set at:
1(a)
20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1;
1(b)
0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.
2
The cross-bucket correlation parameter for commodity vega risk shall be set at:
2(a)
20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1;
2(b)
0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.