Qu'est-ce que « Sensitivities-based method » ?

The sensitivities-based method computes prescribed sensitivities (a PV01 per tenor for interest rates, the value change for a 1% move for FX), multiplies them by prescribed risk weights, and aggregates the weighted sensitivities within buckets ($K_b = \sqrt{\max(0,\sum_{kl}\rho_{kl}WS_kWS_l)}$) and across buckets ($\sqrt{\sum_bK_b^2+\sum_{b\ne c}\gamma_{bc}S_bS_c}$), under three correlation scenarios (the prescribed correlations, 1.25 times them capped at one, and $\max(2\rho-1,0.75\rho)$); the requirement is the largest of the three totals.