FRTB Accelerator Cube GuideCSR Sec non-CTP Vega Risk Position Double Sums
| Description | The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula |
|---|---|
| Reference | [MAR21.4] |
| Formula | $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$ |
Sum of cross product of the weighted sensitivities under the square root in the bucket-level charge formula $K_b$.
The measure requires having hierarchy(ies) in the view: [Double Sums].[CSR Sec non-CTP Vega Double Sums], [Buckets].[CSR Sec non-CTP Buckets].
See also
- CSR Sec non-CTP Vega Risk Charge
- CSR Sec non-CTP Vega Risk Position Correlations
- CSR Sec non-CTP Vega Sensitivities
- CSR Sec non-CTP Vega Weighted Sensitivities
- CSR Sec non-CTP Vega Risk Weight
- CSR Sec non-CTP Vega Risk Position