FRTB Accelerator Cube GuideCapital Surcharge
| Description | The capital surcharge |
|---|---|
| Variations |
|
| Reference | [MAR33.45] |
| Formula | Capital surcharge=k⋅max{0,SAG,A−IMAG,A} |
| Description | The capital surcharge |
|---|---|
| Variations |
|
| Reference | [MAR33.45] |
| Formula | Capital surcharge=k⋅max{0,SAG,A−IMAG,A} |