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