Delta/Vega/Curvature Risk Weight

The Delta/Vega/Curvature Risk Weight measures are $RW_k$ in [MAR21.4](3) and $RW_k^{(Curvature)}$ in [MAR21.5](2)(e).

For Delta and Curvature, following [MAR21.53], the values are looked up based on the configuration for the Risk Factor’s Bucket. For Covered Bonds (bucket 8), when Covered Bond Rating is “high” an alternative risk weight may be looked up instead.

For Vega, following [MAR21.92], the value is looked up based on the configuration for the Risk Class (and its liquidity horizon).