The
Delta/Vega
Risk Position Correlation measures are $\rho_{kl}$ in
[MAR21.4](4).
Within each Bucket (except the “other” bucket), and for each
category of Risk Factor pairs (see Delta/Vega Risk Position Double Sums) the
values are looked up from the configuration for [MAR21.54],
[MAR21.60], and [MAR21.94].
Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] does not include
$\rho_{kl}^{(tenor)}$ in [MAR21.54](2) and [MAR21.55](2) as
the Vega Risk Factors are not differentiated by the Delta
Sensitivity Tenor.