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GIRR 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 |
[MAR21.46] |
| Notation |
$rho_kl MediumCorr$ |
Correlation parameter $\rho_{kl}$ between delta sensitivities within the same bucket (‘medium’ correlation scenario).
See also