K_hedged

Description The part of capital requirements that recognises eligible hedges
Reference [MAR50.21]
Notation $K_{hedged}$
Formula $$K_{hedged}= \sqrt{\left( \rho \cdot \sum_{c} (SCVA_c - SNH_c) - IH\right)^2 + (1-\rho^2)\cdot \sum_c (SCVA_c - SNH_c)^2 + \sum_c HMA_c} $$