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CSR Sec non-CTP Delta Risk Position Correlations

sbm

Description	The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations	high-low
Hierarchies required in the view	[Double Sums].[CSR Sec non-CTP Delta Double Sums] [Buckets].[CSR Sec non-CTP Buckets]
Reference	[MAR21.68]
Notation	$\gamma_{bc}$

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

See also