in force 2025-01-01 INSERTED+557 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
This is an entirely new provision setting out cross-bucket correlation parameters for equity delta and vega risk, specifying percentages of 15%, 75%, 45% and 0% depending on which pair of buckets from Article 383v(1), Table 1 is being compared.
Cited: Art. 383w, v2
text before / after
inserted text (02013R0575-20250101)
Article 383w 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.