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Breadcrumb

  1. Home
  2. Interactive Single Rulebook
  3. Capital Requirements Regulation (CRR)
  4. PART THREE
  5. TITLE IV
  6. CHAPTER 1a
  7. Section 6
  8. Sub-Section 2
  9. Article 325ay

Article 325ay

Description
Vega and curvature risk correlations
Links
  • Question & Answers
Source
EUR-Lex
Question & Answers

Paragraph

1

Links

  • 2020_5645 Definition of the parameter ρ_kl (option maturity)
2
  • 2020_5469 CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”

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EUROPEAN BANKING AUTHORITY

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