EBA · 2020_5469 Final Q&A

CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”

Name: CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 325ay, para. 2
Topic: Market risk
Submitted by: Consultancy firm
Submitted: 2020-08-26
Answered: 2022-07-15
Answer provided by: ESAs (EBA, ESMA, EIOPA)

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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

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.

Original source: European Banking Authority, Q&A ID 2020_5469

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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