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Commodity Vega Risk Position Correlations

sbm
Description The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.94]
Notation ρMediumCorrkl
Formula ρkl=min[ρDELTAklρoption maturitykl;1]

See also