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sbm
DescriptionThe correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variationshigh-low
Hierarchies required in the viewCSR Sec non-CTP Vega Double Sums, CSR Sec non-CTP Buckets
Reference[MAR21.94]
NotationrhoklMediumCorrrho_kl MediumCorr
Formulaρkl=min[ρklDELTA⋅ρkloption maturity;1]\displaystyle \rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]
Correlation parameter ρkl\rho_{kl} between vega sensitivities within the same bucket (‘medium’ correlation scenario).