Navigation :
test ../ test about.html
About
test ../ test about/qis-quick-start_qisonly.html
- Quick Start
test ../ test input-files.html
Input Data
test ../ test tutorials.html
Tutorials
test ../ test tutorials/how-to-prepare-data-for-qis.html
- How to Prepare Data for QIS
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html
---
Aggregated RiskCharge by Class
test ../ test cube/measures/standardisedapproach/commodity.html
---
Commodity
test ../ test cube/measures/standardisedapproach/commodity/curvature.html
----
Curvature
test ../ test cube/measures/standardisedapproach/commodity/delta.html
----
Delta
test ../ test cube/commodity-delta-risk-charge.html
----- Commodity Delta Risk Charge
test ../ test cube/commodity-delta-risk-position.html
----- Commodity Delta Risk Position
test ../ test cube/commodity-delta-risk-position-correlations.html
----- Commodity Delta Risk Position Correlations
test ../ test cube/commodity-delta-risk-position-double-sums.html
----- Commodity Delta Risk Position Double Sums
test ../ test cube/commodity-delta-risk-weight.html
----- Commodity Delta Risk Weight
test ../ test cube/commodity-delta-sensitivities.html
----- Commodity Delta Sensitivities
test ../ test cube/commodity-delta-weighted-sensitivities.html
----- Commodity Delta Weighted Sensitivities
test ../ test cube/measures/standardisedapproach/commodity/vega.html
----
Vega
test ../ test cube/measures/standardisedapproach/csr-non-sec.html
---
CSR non-Sec
test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html
---
CSR Sec CTP
test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html
---
CSR Sec non-CTP
test ../ test cube/measures/standardisedapproach/drc.html
---
DRC
test ../ test cube/measures/standardisedapproach/equity.html
---
Equity
test ../ test cube/measures/standardisedapproach/fx.html
---
FX
test ../ test cube/measures/standardisedapproach/girr.html
---
GIRR
test ../ test cube/measures/standardisedapproach/rrao.html
---
RRAO
test ../ test cube/dimensions.html
-
Dimensions
test ../ test glossary.html
Glossary
Commodity Delta Risk Position Correlations
Description
The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Hierarchies required in the view
Reference
[MAR21.83]
Notation
$\rho_{kl}^{MediumCorr}$
For each bucket, the factors $\rho_{kl}^{cty}$, $\rho_{kl}^{tenor}$ and $\rho_{kl}^{basis}$ and looked up based on cases cty , tenor , basis - represented by the levels in the hierarchy [Double Sums].[Commodity Delta Double Sums] .
See also