CSR Sec non-CTP Vega Risk Position

sbm
Description The bucket-level capital charge for CSR Sec non-CTP vega, also known as risk position, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.4]
Notation $K_b MediumCorr$
Formula $$K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$$

See also