Navigation :
FX Vega Risk Position Correlations
| Description |
The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario |
| Hierarchies required in the view |
|
| Reference |
[MAR21.94] |
| Notation |
$rho_kl MediumCorr$ |
| Formula |
$$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$ |
Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).
See also