CSR Sec CTP Vega Risk Position Correlations
Description | The correlation parameter between vega sensitivities within the same bucket, under the 'Medium correlations' scenario |
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Variations |
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Reference | [MAR21.94] |
Notation | rhoklMediumCorr |
Formula | ρkl=min[ρDELTAkl⋅ρoption maturitykl;1] |
Correlation parameter ρkl between vega sensitivities within the same bucket (‘medium’ correlation scenario).
The measure requires having hierarchy(ies) in the view: [Double Sums].[CSR Sec CTP Vega Double Sums], [Buckets].[CSR Sec CTP Buckets].
See also
- CSR Sec CTP Vega Risk Weight
- CSR Sec CTP Vega Risk Position
- CSR Sec CTP Vega Weighted Sensitivities
- CSR Sec CTP Vega Sensitivities
- CSR Sec CTP Vega Risk Position Double Sums