Navigation : test ../ test user-ref.html User & Reference Guide test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-release/release-notes.html -- Release notes test ../ test dev/dev-release/migrate-4.0.html -- Migration notes 4.0 test ../ test dev/dev-getting-started.html - Getting started test ../ test dev/dev-extensions.html - Extending Atoti CVA Risk Capital test ../ test user-getting-started.html Getting started test ../ test user-getting-started/about-guide.html - Using this guide test ../ test user-getting-started/pdf.html - PDF guides test ../ test user-getting-started/about-cvarc.html - About the Solution test ../ test user-getting-started/whats-new.html - What's New test ../ test user-getting-started/bookmarks.html - Bookmarks test ../ test cube.html Cube reference test ../ test cube/dimensions.html - Dimensions test ../ test cube/measures.html - Measures test ../ test cube/measures/shared-measures.html -- Measures - Combined cube test ../ test cube/measures/ba-measures.html -- BA Measures test ../ test cube/measures/sa-measures.html -- SA Measures test ../ test cube/measures/sa-measures/weighted-sensitivities.html --- Net Weighted Sensitivities test ../ test cube/measures/sa-measures/sensitivities.html --- Sensitivities test ../ test cube/measures/sa-measures/bucket-level-charges.html --- Bucket-level capital charge test ../ test cube/measures/sa-measures/capital.html --- Capital test ../ test cube/measures/sa-measures/capital/interim-capital.html ---- Interim - Capital test ../ test cube/aggregate-sa-capital.html ---- Aggregate SA Capital test ../ test cube/comm-k-delta.html ---- COMM K Delta test ../ test cube/comm-k-vega.html ---- COMM K Vega test ../ test cube/eq-k-delta.html ---- EQ K Delta test ../ test cube/eq-k-vega.html ---- EQ K Vega test ../ test cube/fx-k-delta.html ---- FX K Delta test ../ test cube/fx-k-vega.html ---- FX K Vega test ../ test cube/ir-k-delta.html ---- IR K Delta test ../ test cube/ir-k-vega.html ---- IR K Vega test ../ test cube/rcs-k-delta.html ---- RCS K Delta test ../ test cube/rcs-k-vega.html ---- RCS K Vega test ../ test cube/measures/sa-measures/sa-supervisory-parameters.html --- Supervisory Parameters test ../ test cube/measures/sa-measures/technical-sa.html --- Technical - SA Measures test ../ test regulatory-calcs.html Regulatory calculations test ../ test input-files.html Input file formats test ../ test what-if.html What-If test ../ test widgets.html Widgets COMM K Vega Description Capital charge for Commodity vega Reference [MAR50.53] Notation $K$ Formula $$K=m_{CVA} \cdot \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{b\neq c}\gamma_{bc}\cdot S_b \cdot S_c}$$ COMM K Delta EQ K Delta