Skip to main content

Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

Use this file to discover all available pages before exploring further.

DescriptionThe supervisory prescribed correlation between the credit spread of counterparty c and the credit spread of a single-name hedge h of counterparty c.
Reference[MAR50.23]
Notationrhcr_{hc}
To display correlations, combine the measure with hierarchies [Risk].[CVACounterpartyId] and [TradePosition].[ReferenceName].

See also