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 |
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| Reference | [MAR21.54] |
| Notation | rhoklMediumCorr |
Correlation parameter ρkl 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