The specifications are ambiguous about whether the correlations for Crypto 2a defined in are subject to the ‘high’, ‘medium’ and ‘low’ scenarios. These scenarios are set out in
for all other risk classes. The behavior can be controlled by the ‘frtb.crypto-2a.apply-correlation-stress’ configuration parameter as follows.
This is the default behavior. The stress scenarios are ignored, and the same correlation constants are used for the ‘high’, ‘medium’ and ‘low’ scenarios.
The configuration parameter ‘frtb.crypto-2a.apply-correlation-stress’ is set to ‘frtb.crypto-2a.apply-correlation-stress=false’.
The correlations for the ‘high’, ‘medium’ and ‘low’ scenarios are calculated in alignment with .
The configuration parameter ‘frtb.crypto-2a.apply-correlation-stress’ is set to ‘frtb.crypto-2a.apply-correlation-stress=true’.
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