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CSR Sec non-CTP Delta Risk Position Correlations
Description |
The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.68] |
Notation |
$\gamma_{bc}$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
See also