CSR Sec non-CTP Delta Risk Position Correlations

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

See also

• CSR Sec non-CTP Delta Risk Charge
• CSR Sec non-CTP Delta Risk Position
• CSR Sec non-CTP Delta Risk Position Double Sums
• CSR Sec non-CTP Delta Risk Weight
• CSR Sec non-CTP Delta Sensitivities
• CSR Sec non-CTP Delta Weighted Sensitivities