FRTB Accelerator Cube GuideCSR Sec non-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 | [MAR21.68] |
| Notation | $\gamma_{bc}$ |
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 Sec non-CTP Delta Double Sums], [Buckets].[CSR Sec non-CTP Buckets].
See also
- CSR Sec non-CTP Delta Risk Weight
- CSR Sec non-CTP Delta Risk Position
- CSR Sec non-CTP Delta Weighted Sensitivities
- CSR Sec non-CTP Delta Risk Charge
- CSR Sec non-CTP Delta Sensitivities
- CSR Sec non-CTP Delta Risk Position Double Sums