CSR sec non-CTP delta risk position correlations


Description	The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations	high-low
Hierarchies required in the view	CSR Sec non-CTP Delta Double Sums, CSR Sec non-CTP Buckets
Reference	[MAR21.68]
Notation	$\gamma_{bc}$

Correlation parameter

\rho_{kl}

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

⌘I