Equity Vega Risk Position Correlations

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].[Equity Vega Double Sums], [Buckets].[Equity Buckets].

See also

• Equity Vega Sensitivities
• Equity Vega Risk Position
• Equity Vega Risk Weight
• Equity Vega Risk Position Double Sums
• Equity Vega Risk Charge
• Equity Vega Weighted Sensitivities