FRTB Accelerator Cube GuideCommodity Vega Risk Position Double Sums
| Description | The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula |
|---|---|
| Reference | [MAR21.4] |
| Formula | ∑k∈b∑l∈b⋅WSk⋅WSl |
The measure requires having hierarchy(ies) in the view: [Double Sums].[Commodity Delta Double Sums], [Buckets].[Commodity Buckets].
See also
- Commodity Vega Risk Charge
- Commodity Vega Risk Weight
- Commodity Vega Risk Position
- Commodity Vega Weighted Sensitivities
- Commodity Vega Sensitivities
- Commodity Vega Risk Position Correlations