CSR Sec non-CTP Vega Risk Position Correlations

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

Correlation parameter ρklρkl between vega sensitivities within the same bucket (‘medium’ correlation scenario).

See also