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Documentation Index

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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 viewCSR Sec non-CTP Delta Double Sums, CSR Sec non-CTP Buckets
Reference[MAR21.68]
Notationγbc\gamma_{bc}
Correlation parameter ρkl\rho_{kl} between delta sensitivities within the same bucket (‘medium’ correlation scenario).