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sbm
DescriptionThe correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variationshigh-low
Hierarchies required in the viewCrypto 2a Delta Double Sums, Crypto 2a Buckets
Reference[SCO60.76]
NotationρklMediumCorr\rho_{kl}^{MediumCorr}
For each bucket, the factors ρ_kl\rho\_{kl} are set based on whether k and l are the same or not - represented by the levels in the hierarchy Crypto 2a Delta Double Sums.