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 | $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$ |
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