FRTB Accelerator Cube GuideCommodity Vega Risk Position Correlations
| Description | The correlation parameter between vega sensitivities within the same bucket, under the 'Medium correlations' scenario |
|---|---|
| Variations |
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| Reference | [MAR21.94] |
| Notation | $\rho_{kl}^{MediumCorr}$ |
| Formula | $$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$ |
The measure requires having hierarchy(ies) in the view: [Double Sums].[Commodity Delta Double Sums], [Buckets].[Commodity Buckets].
See also
- Commodity Vega Risk Weight
- Commodity Vega Risk Position
- Commodity Vega Risk Position Double Sums
- Commodity Vega Risk Charge
- Commodity Vega Sensitivities
- Commodity Vega Weighted Sensitivities