Navigation :
Commodity Risk Charge
| Description |
The risk charge for risk class Commodity across sensitivity types under the ‘Medium correlations’ scenario |
| Reference |
[MAR21.4] |
| Formula |
$$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$ |
See also