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Commodity Vega Risk Position Correlations
Description |
The correlation parameter between vega sensitivities within the same bucket, under the 'Medium correlations' scenario |
Variations |
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Hierarchy(ies) required in the view: |
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Reference |
[MAR21.94] |
Notation |
$\rho_{kl}^{MediumCorr}$ |
Formula |
$$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$ |
See also