FRTB Accelerator Cubes GuideCSR Sec non-CTP Delta Risk Position Correlations
| Description | The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
|---|---|
| Variations | |
| Hierarchy(ies) required in the view: | |
| Reference | [MAR21.68] |
| Notation | $\gamma_{bc}$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
See also
- CSR Sec non-CTP Delta Risk Charge
- CSR Sec non-CTP Delta Risk Position
- CSR Sec non-CTP Delta Risk Position Double Sums
- CSR Sec non-CTP Delta Risk Weight
- CSR Sec non-CTP Delta Sensitivities
- CSR Sec non-CTP Delta Weighted Sensitivities