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Correlation stress scenario

The specifications are ambiguous about whether the correlations for Crypto 2a defined in SCO60.76 are subject to the ‘high’, ‘medium’ and ‘low’ scenarios as set out in MAR21.6 for all other risk classes. The behaviour can be controlled by the ‘frtb.crypto-2a.apply-correlation-stress’ configuration parameter as follows.

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Ignore correlation stressing

This is the default behaviour. The stress scenarios are ignored, and we use the same correlation constants 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’.

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Apply correlation stressing

The correlations for the ‘high’, ‘medium’ and ‘low’ scenarios are calculated in alignment with MAR21.6. The configuration parameter ‘frtb.crypto-2a.apply-correlation-stress’ is set to ‘frtb.crypto-2a.apply-correlation-stress=true’.