Navigation :
IM_CreditQ_BaseCorrMargin
| Description |
Margin aggregation from Credit Qualifying BaseCorr sensitivities |
| Notation |
$BaseCorrMargin$ |
| Formula |
$$BaseCorrMargin = \sqrt{\sum_{k}WS_{k}^{2} + \sum_{k}{\sum_{l \neq k} \rho_{k,l} \cdot WS_{k} \cdot WS_{l}}}$$ |