Equity Delta Risk Position Correlations
Description | The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
---|---|
Variations |
|
Reference | [MAR21.78] |
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].[Equity Delta Double Sums], [Buckets].[Equity Buckets].
See also
- Equity Delta Risk Position Double Sums
- Equity Delta Risk Position
- Equity Delta Risk Charge
- Equity Delta Weighted Sensitivities
- Equity Delta Risk Weight
- Equity Delta Sensitivities