BIS Run : The Specific Risk Charge for the Correlation Trading Portfolio
(Doc ID 2589034.1)
Last updated on SEPTEMBER 23, 2019
Applies to:Oracle Financial Services Basel Regulatory Capital Internal Ratings Based Approach - Version 8.0.0 and later
Information in this document applies to any platform.
To outline which process and sub processes are covering the below set of rules under the BIS rules which as per the BIS guidelines, the specific risk capital charge for the correlation trading portfolio is equal to the greater of
(a) The total specific risk capital charges that would apply only to the net long positions from the net long correlation trading exposures combined, or
(b) The total specific risk capital charges that would apply only to the net short positions from the net short correlation trading exposures combined.
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