Commodity Delta Risk Position Correlations
Description | The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
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Variations | |
Hierarchy(ies) required in the view: | |
Reference | [MAR21.83] |
Notation | $\rho_{kl}^{MediumCorr}$ |
For each bucket, the factors $\rho_{kl}^{cty}$, $\rho_{kl}^{tenor}$ and $\rho_{kl}^{basis}$ and looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy [Double Sums].[Commodity Delta Double Sums].
See also
- Commodity Delta Risk Charge
- Commodity Delta Risk Position
- Commodity Delta Risk Position Double Sums
- Commodity Delta Risk Weight
- Commodity Delta Sensitivities
- Commodity Delta Weighted Sensitivities