Equity Vega Risk Position Double Sums

sbm
Description The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula
Hierarchies required in the view
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 $K_b$.

See also