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GIRR Vega Risk Position Correlations
| Description |
The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario |
| Variations |
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| Hierarchies required in the view |
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| Notation |
$rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).
See also