Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/video-walk-throughs.html
- Video walk-throughs
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test configuration.html
Configuration files
test ../ test datastore.html
Data Stores
test ../ test database.html
Database
test ../ test input-files.html
Input Data
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/measure-variations.html
--
Measure variations
test ../ test cube/measures/acr.html
--
ACR
test ../ test cube/measures/frtbcombined.html
--
FRTBCombined
test ../ test cube/measures/imadrc.html
--
IMADRC
test ../ test cube/measures/internalmodelapproach.html
--
InternalModelApproach
test ../ test cube/measures/pl-and-plsummary.html
--
PL
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html
---
Aggregated RiskCharge by Class
test ../ test cube/measures/standardisedapproach/commodity.html
---
Commodity
test ../ test cube/measures/standardisedapproach/commodity/curvature.html
----
Curvature
test ../ test cube/measures/standardisedapproach/commodity/delta.html
----
Delta
test ../ test cube/commodity-delta-risk-charge.html
----- Commodity Delta Risk Charge
test ../ test cube/commodity-delta-risk-position.html
----- Commodity Delta Risk Position
test ../ test cube/commodity-delta-risk-position-correlations.html
----- Commodity Delta Risk Position Correlations
test ../ test cube/commodity-delta-risk-position-double-sums.html
----- Commodity Delta Risk Position Double Sums
test ../ test cube/commodity-delta-risk-weight.html
----- Commodity Delta Risk Weight
test ../ test cube/commodity-delta-sensitivities.html
----- Commodity Delta Sensitivities
test ../ test cube/commodity-delta-weighted-sensitivities.html
----- Commodity Delta Weighted Sensitivities
test ../ test cube/measures/standardisedapproach/commodity/vega.html
----
Vega
test ../ test cube/count.html
--- Count
test ../ test cube/measures/standardisedapproach/csr-non-sec.html
---
CSR non-Sec
test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html
---
CSR Sec CTP
test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html
---
CSR Sec non-CTP
test ../ test cube/measures/standardisedapproach/drc.html
---
DRC
test ../ test cube/measures/standardisedapproach/equity.html
---
Equity
test ../ test cube/measures/standardisedapproach/fx.html
---
FX
test ../ test cube/measures/standardisedapproach/girr.html
---
GIRR
test ../ test cube/notional.html
--- Notional
test ../ test cube/notional-original-currency.html
--- Notional (Original Currency)
test ../ test cube/notional-original-currency-drc.html
--- Notional (Original Currency) DRC
test ../ test cube/notional-drc.html
--- Notional DRC
test ../ test cube/pv.html
--- PV
test ../ test cube/pv-drc.html
--- PV DRC
test ../ test cube/pv.ccy.html
--- PV.CCY
test ../ test cube/measures/standardisedapproach/rrao.html
---
RRAO
test ../ test cube/timestamp.html
--- Timestamp
test ../ test cube/measures/stresscalibration.html
--
StressCalibration
test ../ test cube/context-values.html
-
Context values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Solution
test ../ test dev/dev-tools.html
-
Configuring Solution tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test what-if.html
What-If Analysis
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
Commodity Delta Risk Position Correlations
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
$\rho_{kl}^{MediumCorr}$
For each bucket, the factors $\rho_{kl}^{cty}$, $\rho_{kl}^{tenor}$ and $\rho_{kl}^{basis}$ and looked up based on cases cty , tenor , basis - represented by the levels in the hierarchy Commodity Delta Double Sums .
See also