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-5.1.html
-- Migration notes 5.1
test ../ test dev/dev-release/previous-migration.html
--
Previous migration notes
test ../ test dev/dev-getting-started.html
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Getting started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
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 regulatory-calcs.html
Regulatory calculations
test ../ test configuration.html
Configuration files
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/measure-variations.html
--
Measure variations
test ../ test cube/measures/shared-measures.html
--
Measures - Combined cube
test ../ test cube/measures/ba-measures.html
--
BA Measures
test ../ test cube/measures/ba-measures/capital.html
---
Capital
test ../ test cube/measures/ba-measures/exposures.html
---
Exposures
test ../ test cube/measures/ba-measures/interim-results.html
---
Interim - BA Measures
test ../ test cube/hma.html
---- HMA
test ../ test cube/idiosyncratic-component.html
---- Idiosyncratic Component
test ../ test cube/ih.html
---- IH
test ../ test cube/scva-net-of-snh.html
---- SCVA net of SNH
test ../ test cube/snh.html
---- SNH
test ../ test cube/systematic-component.html
---- Systematic Component
test ../ test cube/measures/ba-measures/supervisory-parameters.html
---
Supervisory parameters
test ../ test cube/measures/ba-measures/technical-ba.html
---
Technical - BA Measures
test ../ test cube/measures/sa-measures.html
--
SA Measures
test ../ test input-files.html
Input file formats
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
HMA
Description
A hedging misalignment parameter, which is designed to limit the extent to which indirect hedges can reduce capital requirements given that they will not fully offset movements in a counterparty’s credit spread.
Reference
[MAR50.25]
Notation
$\sum_{c} HMA$
Formula
$$\sum_{c} HMA=\sum_{c} \sum_{h \in c} \left(1- r_{hc}^2 \right) \cdot \left( RW_{h} \cdot M_h \cdot B_{h} \cdot DF_h \right)^2$$
See also