CSR Sec non-CTP Vega Risk Position Correlations

sbm
Description The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.94]
Notation $rho_kl MediumCorr$
Formula $$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$

Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).

See also