FRTB Accelerator Cube GuideCSR non-Sec Delta Risk Position Correlations
| Description | The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
|---|---|
| Variations |
|
| Reference | [MAR21.54] |
| Notation | $rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
See also
- CSR non-Sec Delta Risk Weight
- CSR non-Sec Delta Risk Charge
- CSR non-Sec Delta Risk Position Double Sums
- CSR non-Sec Delta Weighted Sensitivities
- CSR non-Sec Delta Risk Position
- CSR non-Sec Delta Sensitivities