Navigation : test ../ test user-getting-started.html Getting started test ../ test release-notes.html Release and migration notes test ../ test cube.html Cube reference test ../ test cube/context_values.html - Context Values test ../ test cube/dimensions.html - Dimensions test ../ test cube/measures.html - Measures test ../ test cube/measures/additional-margin.html -- Additional Margin test ../ test cube/measures/bucket-level-margin.html -- Bucket level margin test ../ test cube/k_commodity_curvaturemargin.html --- K_Commodity_CurvatureMargin test ../ test cube/k_commodity_deltamargin.html --- K_Commodity_DeltaMargin test ../ test cube/k_commodity_vegamargin.html --- K_Commodity_VegaMargin test ../ test cube/k_creditnonq_curvaturemargin.html --- K_CreditNonQ_CurvatureMargin test ../ test cube/k_creditnonq_deltamargin.html --- K_CreditNonQ_DeltaMargin test ../ test cube/k_creditnonq_vegamargin.html --- K_CreditNonQ_VegaMargin test ../ test cube/k_creditq_curvaturemargin.html --- K_CreditQ_CurvatureMargin test ../ test cube/k_creditq_deltamargin.html --- K_CreditQ_DeltaMargin test ../ test cube/k_creditq_vegamargin.html --- K_CreditQ_VegaMargin test ../ test cube/k_equity_curvaturemargin.html --- K_Equity_CurvatureMargin test ../ test cube/k_equity_deltamargin.html --- K_Equity_DeltaMargin test ../ test cube/k_equity_vegamargin.html --- K_Equity_VegaMargin test ../ test cube/k_fx_curvaturemargin.html --- K_FX_CurvatureMargin test ../ test cube/k_fx_deltamargin.html --- K_FX_DeltaMargin test ../ test cube/k_fx_vegamargin.html --- K_FX_VegaMargin test ../ test cube/k_generic.html --- K_Generic test ../ test cube/k_ir_curvaturemargin.html --- K_IR_CurvatureMargin test ../ test cube/k_ir_deltamargin.html --- K_IR_DeltaMargin test ../ test cube/k_ir_vegamargin.html --- K_IR_VegaMargin test ../ test cube/measures/interim-results.html -- Interim results test ../ test cube/measures/risk-class-level-margin.html -- Risk class level margin test ../ test cube/measures/schedule.html -- Schedule test ../ test cube/measures/sensitivities.html -- Sensitivities test ../ test cube/measures/sensitivity-level-margin.html -- Sensitivity level margin test ../ test cube/measures/weighted-sensitivities.html -- Weighted sensitivities test ../ test cube/additional-margin.html -- Additional Margin test ../ test cube/count.html -- Count test ../ test cube/fxrate.html -- FxRate test ../ test cube/simm.html -- SIMM test ../ test cube/total-im.html -- Total IM test ../ test cube/total-im-segregated.html -- Total IM Segregated test ../ test cube/total-im-unsegregated.html -- Total IM Unsegregated test ../ test cube/worst-regulation.html -- Worst Regulation test ../ test calculations.html Calculations guide test ../ test input-files.html Input file formats test ../ test datastores.html Datastores test ../ test what-if.html What-If test ../ test widgets.html Widgets K_CreditNonQ_VegaMargin Description Bucket-level margin for Credit Non Qualifying Vega sensitivities Notation $$K_{b}$$ Formula $$K_{b} =\sqrt{\sum_{k}VR_{k}^{2} + \sum_{k}{\sum_{k \neq l} \rho_{kl}} \ f_{kl} \ VR_{k} \ VR_{l}}$$ K_CreditNonQ_DeltaMargin K_CreditQ_CurvatureMargin