FRTB Accelerator Cube GuideCSR 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 | $rho_kl MediumCorr$ |
| Formula | $$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$ |
Correlation parameter $\rho_{kl}$ 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