FX 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 [MAR21.94]
Notation rhoklMediumCorr
Formula ρkl=min[ρklDELTAρkloption maturity;1]

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

See also