> ## 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.

# 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

<Badge color="gray" size="lg">[sbm](../tags/sbm)</Badge>

|                                      |                                                                                                                                             |
| ------------------------------------ | ------------------------------------------------------------------------------------------------------------------------------------------- |
| **Description**                      | The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario                       |
| **Variations**                       | [high-low](./high-low)                                                                                                                      |
| **Hierarchies required in the view** | [Commodity Delta Double Sums](./commodity-delta-double-sums), [Commodity Buckets](./commodity-buckets)                                      |
| **Reference**                        | [\[MAR21.94\]](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_94) |
| **Notation**                         | $\rho_{kl}^{MediumCorr}$                                                                                                                    |
| **Formula**                          | $\displaystyle \rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$                                         |