CSR non-sec vega risk position correlations


Description	The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations	high-low
Hierarchies required in the view	CSR non-Sec Vega Double Sums, CSR non-Sec Buckets
Reference	[MAR21.94]
Notation	$rho_kl MediumCorr$
Formula	$\displaystyle \rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$

Correlation parameter

\rho_{kl}

between vega sensitivities within the same bucket (‘medium’ correlation scenario).