Regulatory and internal model validation services from CompatibL
- The delta risk correlation between a sensitivity to the inflation curve and a sensitivity to a given vertex of the relevant yield curve is 40%.
- The delta risk correlation between a sensitivity to a cross currency basis curve and a sensitivity to a given vertex of the relevant yield curve, the inflation curve or another cross currency basis curve (if relevant) is 0%.
- The parameter must be used for aggregating between different currencies.
- An example to clear things up: the correlation between sensitivity
to the vertex 1 year of the Eonia swap curve and the sensitivity to
the vertex 5 year of the Eonia swap curve in the same currency is