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 [MAR21.78] and
[MAR21.94].
Note: The $\rho_{kl}^{(Delta)}$ in [MAR21.94] only refers to
[MAR21.78](2) as the Vega Risk Factors only include the Spot
Type.