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IR Kb Delta
| Description |
Bucket-level capital charge for Delta IR |
| Reference |
[MAR50.52] |
| Notation |
$K_b$ |
| Formula |
$$K_b=\sqrt{\left(\sum _{k\in b} (WS_{k})^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)+R\cdot\sum_{k \in b}\left( (WS^{Hdg}_{k})^2\right)}$$ |
The measure requires having hierarchy [RegulatoryBucket].[RegulatoryBucket] in the view.