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Crypto 2a Vega Risk Position Correlations

sbm
Description The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [SCO60.76]
Notation $\rho_{kl}^{MediumCorr}$

For each bucket, the factors $\rho_{kl}$ are set based on whether k and l are the same or not - represented by the levels in the hierarchy Crypto 2a Delta Double Sums.

See also