GIRR Delta Risk Position Correlations

sbm
Description The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.46]
Notation $rho_kl MediumCorr$

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

See also