| Description | The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario |
| Variations | high-low |
| Reference | [MAR21.54] |
| Notation |
CSR non-sec delta risk position correlations
The CSR non-Sec Delta Risk Position Correlations in FRTBCombinedCube, the intra-bucket correlation parameter (rho_kl) between delta sensitivities per Basel MAR21.54, requires CSR non-Sec Buckets hierarchy
sbm
Correlation parameter between delta sensitivities within the same bucket (‘medium’ correlation scenario).