FRTB Accelerator Cube GuideFX 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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| 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].[FX Delta Double Sums], [Buckets].[FX Buckets].
See also
- FX Delta Risk Position
- FX Delta Risk Charge
- FX Delta Sensitivities
- FX Delta Risk Weight
- FX Delta Risk Position Double Sums
- FX Delta Weighted Sensitivities