Article 383q
Intra-bucket correlations for counterparty credit spread risk
1.
Between two sensitivities WSk and WSl , resulting from risk exposures assigned to sector buckets 1 to 11 and 13 to 20, as set out in Article 383p(1), Table 1, the correlation parameter ρkl shall be set as follows:
where:
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shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; |
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shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %; |
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shall be equal to 1 where the two names are both in buckets 1 to 11 or are both in buckets 13 to 20, otherwise it shall be equal to 80 %. |
2.
Between two sensitivities WSk and WSl resulting from risk exposures assigned to sector buckets 12 and 21, the correlation parameter ρkl shall be set as follows:
where:
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shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; |
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shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90 % if the two indices are the same but of distinct series, otherwise it shall be equal to 80 %; |
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shall be equal to 1 where the two names are both in bucket 12 or both in bucket 21, otherwise it shall be equal to 80 %. |