FRTB Accelerator Cube GuideCapital Surcharge
| Description | The capital surcharge |
|---|---|
| Variations |
|
| Reference | [MAR33.45] |
| Formula | $$Capital\ surcharge=k \cdot max\left \{ 0, SA_{G,A}-IMA_{G,A}\right \}$$ |
| Description | The capital surcharge |
|---|---|
| Variations |
|
| Reference | [MAR33.45] |
| Formula | $$Capital\ surcharge=k \cdot max\left \{ 0, SA_{G,A}-IMA_{G,A}\right \}$$ |