| Description | The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario |
| Variations | high-low |
| Hierarchies required in the view | Commodity Delta Double Sums, Commodity Buckets |
| Reference | [MAR21.83] |
| Notation |
Commodity delta risk position correlations
The Commodity Delta Risk Position Correlations in FRTBCombinedCube, the intra-bucket correlation parameter (rho_kl) between delta sensitivities per Basel MAR21.83, requires Commodity Delta Double Sums and Commodity Buckets hierarchies
sbm
For each bucket, the factors , and and looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy Commodity Delta Double Sums.