FRTB Accelerator Cube GuideCommodity Delta Risk Position Correlations
| Description | The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
|---|---|
| Variations |
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| 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].
The measure requires having hierarchy(ies) in the view: [Double Sums].[Commodity Delta Double Sums], [Buckets].[Commodity Buckets].
See also
- Commodity Delta Risk Charge
- Commodity Delta Sensitivities
- Commodity Delta Risk Position Double Sums
- Commodity Delta Weighted Sensitivities
- Commodity Delta Risk Position
- Commodity Delta Risk Weight