Navigation :
Equity Vega Risk Position Correlations
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 |
rhoklMediumCorr |
Formula |
ρkl=min[ρDELTAkl⋅ρoption maturitykl;1] |
Correlation parameter ρkl between vega sensitivities within the same bucket (‘medium’ correlation scenario).
See also