FRTB Accelerator Cube GuideCommodity Delta Risk Position
| Description | The bucket-level capital charge for commodity delta also known as risk position, under the 'Medium correlations' scenario |
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| Variations |
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| Reference | [MAR21.4] |
| Notation | $K_b MediumCorr$ |
| Formula | $$K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[Commodity Buckets].
See also
- Commodity Delta Risk Position Double Sums
- Commodity Delta Weighted Sensitivities
- Commodity Delta Sensitivities
- Commodity Delta Risk Position Correlations
- Commodity Delta Risk Weight
- Commodity Delta Risk Charge