| Description | The correlation parameter between vega 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 | [MAR21.94] |
| Notation | |
| Formula |
Commodity vega risk position correlations
The Commodity Vega Risk Position Correlations in FRTBCombinedCube, the intra-bucket correlation parameter (rho_kl) between vega sensitivities per Basel MAR21.94, requires Commodity Delta Double Sums and Commodity Buckets hierarchies
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