Navigation :
FX Delta Risk Position Correlations
Description |
The correlation parameter between delta sensitivities within the same bucket, under the 'Medium correlations' scenario |
Variations |
|
Hierarchy(ies) required in the view: |
|
Notation |
$rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
See also