FRTB Accelerator Cube GuideCSR Sec CTP 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 | [MAR21.60] |
| Notation | $rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
The measure requires having hierarchy(ies) in the view: [Double Sums].[CSR non-Sec Vega Double Sums], [Buckets].[CSR non-Sec Buckets].
See also
- CSR Sec CTP Delta Sensitivities
- CSR Sec CTP Delta Weighted Sensitivities
- CSR Sec CTP Delta Risk Charge
- CSR Sec CTP Delta Risk Position Double Sums
- CSR Sec CTP Delta Risk Weight
- CSR Sec CTP Delta Risk Position