Navigation :
Correlation r_hc
| Description |
The supervisory prescribed correlation between the credit spread of counterparty c and the credit spread of a single-name hedge h of counterparty c. |
| Reference |
[MAR50.23] |
| Notation |
$r_{hc}$ |
To display correlations, combine the measure with hierarchies [Risk].[CVACounterpartyId] and [TradePosition].[ReferenceName].
See also