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IR Kb Delta
| Description |
Bucket-level capital charge for Delta IR |
| Reference |
[MAR50.52] |
| Notation |
KbKb |
| Formula |
Kb=√(∑k∈b(WSk)2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)+R⋅∑k∈b((WSHdgk)2)Kb=
⎷⎛⎝∑k∈b(WSk)2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl⎞⎠+R⋅∑k∈b((WSHdgk)2) |
The measure requires having hierarchy [RegulatoryBucket].[RegulatoryBucket] in the view.