- The delta risk correlation is set at 99% between sensitivities and with the same bucket (e.g. currency), the same assigned vertex, but different curves.
- The delta risk correlation
within the same bucket, with a different vertex is given by
where is the vertex that relates to and set at 3%.
- Between two sensitivities and within the same bucket (i.e. the same currency), different vertexes and different curves, the correlation is equal to the correlation parameter specified above, multiplied by 99.90%.