IM_CreditQ_DeltaMargin

Description Margin aggregation from Credit delta sensitivities
Notation $DeltaMargin$
Formula $$DeltaMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \ S_{b} \ S_{c}}} + K_{residual}$$