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IH
| Description |
a parameter that gives recognition to the reduction in CVA risk across all counterparties arising from the bank’s use of index hedges. |
| Reference |
[MAR50.24] |
| Notation |
$IH$ |
| Formula |
$$IH =\sum_{i} \left( RW_{i} \cdot M_i \cdot B_{i} \cdot DF_i \right)$$ |