Navigation :
IM_IR_DeltaMargin
| Description |
Margin aggregation from IR delta sensitivities |
| Notation |
$DeltaMargin_{RiskClass}$ |
| Formula |
$$Margin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}$$ |