EBU Single Rulebook Q&A 26 August 2020 2020_5469 CCR2 + FRTB: Delta intra bucket correlation for the risk class “foreign exchange risk”

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? - BearingPoint Switzerland AG Consultancy firm 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