- Question ID
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2020_5469
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
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325ay
- Paragraph
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2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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0
- Name of institution / submitter
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BearingPoint Switzerland AG
- Country of incorporation / residence
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Switzerland
- Type of submitter
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Consultancy firm
- Subject matter
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CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”
- Question
-
How should the vega intrabucket correlation for the FX risk class be computed giving that the delta intra bucket correlation ρ_kl^ is not defined?
- Background on the question
-
-
- Submission date
- Final publishing date
-
- Final answer
-
For the purposes of computing the vega intra-bucket correlation Pkl for the foreign exchange risk class in accordance with the formula in Article 325ay(2) of Regulation (EU) No 575/2013, the parameter ρ_kl^((DELTA)) should be set to 1, as there is only one delta risk factor per bucket for the foreign exchange risk class.
- Status
-
Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
- Attachments
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QnA_FRTB.pdf (189.09 KB)