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CSR Sec non-CTP Vega Risk Position Correlations

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Description	The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations	high-low
Hierarchies required in the view	[Double Sums].[CSR Sec non-CTP Vega Double Sums] [Buckets].[CSR Sec non-CTP Buckets]
Reference	[MAR21.94]
Notation	$rho_kl MediumCorr$
Formula	$$\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$$

Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).

See also