Equity Delta Risk Position Correlations

sbm

Description The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario
Variations
  • <high>
  • <low>
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

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