Delta Vega Risk Position

The Delta/Vega Risk Position measures are $K_b$ in [MAR21.4](4).

For each Bucket (except the “other” bucket), the Delta/Vega Risk Position is calculated from the Delta/Vega Weighted Sensitivities and Delta/Vega Risk Position Correlations using the formula in [MAR21.4](4).

For the “other” bucket, the Delta/Vega Risk Position is calculated as the sum of the absolute values of the Delta/Vega Weighted Sensitivities (as per [MAR21.79]).

Implementation Note: This calculation has been optimised so that it is performed with $O(N)$ (linear) time complexity, where $N$ is the number of Risk Factors.