Delta/Vega Risk Position Correlations

The Delta/Vega Risk Position Correlation measures are $\rho_{kl}$ in [MAR21.4](4).

Within each Bucket (except the “other” bucket), and for each category of Risk Factor pairs (see Delta/Vega Risk Position Double Sums) the values are looked up from the configuration for [MAR21.68] and [MAR21.94].

Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] does not include $\rho_{kl}^{(tenor)}$ in [MAR21.68](2) as the Vega Risk Factors are not differentiated by the Delta Sensitivity Tenor.