Docs / nablatensor-risk / com.nablatensor.risk
enum
CorrelationScenario
FRTB's three correlation scenarios (MAR21.6). The bank computes the capital charge under each and takes the largest.
Enum constants
MEDIUM
Prescribed correlations as published.
HIGH
min(1.25 * rho, 1) — correlations move toward 1.
LOW
max(2 * rho - 1, 0.75 * rho) — correlations move toward 0 (or negative).
Methods
double apply(double mediumRho)
Applies this scenario's transform to a medium-scenario correlation.