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Commodity Delta Risk Position Correlations

sbm
Description The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.83]
Notation ρMediumCorrkl

For each bucket, the factors ρctykl, ρtenorkl and ρbasiskl and looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy Commodity Delta Double Sums.

See also