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FX Kb Vega
Description |
Bucket-level capital charge for Vega FX |
Reference |
[MAR50.52] |
Notation |
Kb |
Formula |
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.