Commodity Delta Double Sums
| Description | The three levels of this hierarchy describe all possible combinations for determining delta risk factor correlations for the Commodity risk class. |
| Reference | |
| Levels | [ALL, Cty, Tenor, Basis] |
Commodity Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the Commodity risk class. |
| Reference | |
| Levels | [ALL, Cty, Maturity1, Maturity2] |
Crypto 2a Delta Double Sums
| Description | This hierarchy is used to describe factors determining delta risk factor correlations for the Crypto 2a risk class. |
| Levels | [ALL, Crypto 2a Risk Factor] |
Crypto 2a Vega Double Sums
| Description | This hierarchy is used to describe factors determining vega risk factor correlations for the Crypto 2a risk class. |
| Levels | [ALL, Crypto 2a Risk Factor] |
CSR non-Sec Delta Double Sums
| Description | The three levels of this hierarchy describe all possible combinations for determining delta risk factor correlations for the CSR non-Sec risk class. |
| Reference | |
| Levels | [ALL, Name, Tenor, Basis] |
CSR non-Sec Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the CSR non-Sec risk class. |
| Reference | |
| Levels | [ALL, Name, Basis, Maturity1, Maturity2] |
CSR Sec CTP Delta Double Sums
| Description | The three levels of this hierarchy describe all possible combinations for determining delta risk factor correlations for the CSR Sec CTP risk class. |
| Reference | |
| Levels | [ALL, Name, Tenor, Basis] |
CSR Sec CTP Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the CSR Sec CTP risk class. |
| Reference | |
| Levels | [ALL, Name, Basis, Maturity1, Maturity2] |
CSR Sec non-CTP Delta Double Sums
| Description | This hierarchy has three levels. They describe all possible combinations for determining delta risk factor correlations for the CSR Sec non-CTP risk class. |
| Reference | |
| Levels | [ALL, Tranche, Tenor, Basis] |
CSR Sec non-CTP Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations. They are used for determining vega risk factor correlations for the CSR Sec non-CTP risk class. |
| Reference | |
| Levels | [ALL, Tranche, Basis, Maturity1, Maturity2] |
Equity Delta Double Sums
| Description | The two levels of this hierarchy describe all possible combinations for determining delta risk factor correlations for the Equity risk class. |
| Reference | |
| Levels | [ALL, Issuer, Type] |
Equity Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the Equity risk class. |
| Reference | |
| Levels | [ALL, Issuer, Maturity1, Maturity2] |
FX Delta Double Sums
| Description | This hierarchy is used to describe factors determining delta risk factor correlations for the FX risk class. |
| Levels | [ALL, Ccy] |
FX Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the FX risk class. |
| Reference | |
| Levels | [ALL, Ccy, Maturity1, Maturity2] |
GIRR Delta Double Sums
| Description | The three levels of this hierarchy describe all possible combinations for determining delta risk factor correlations for the GIRR risk class. |
| Reference | |
| Levels | [ALL, Vertex1, Vertex2, Curve] |
GIRR Vega Double Sums
| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the GIRR risk class. |
| Reference | |
| Levels | [ALL, OptionMaturity1, OptionMaturity2, UnderlyingMaturity1, UnderlyingMaturity2] |