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FX Vega Risk Weight
| Description |
The FX vega risk weights |
| Reference |
[MAR21.92] |
| Notation |
$RW_k$ |
| Formula |
$$RW_k = min\left [ RW_\sigma \cdot \frac{\sqrt{LH_{risk class}}}{\sqrt{10}}; 100 \% \right ]$$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[FX Buckets], [Market Data].[Market Types].
See also
FRTB Accelerator Cube Guide