FRTB Accelerator Cube GuideCSR non-Sec Delta 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: [Buckets].[CSR non-Sec Buckets], [Double Sums].[CSR non-Sec Delta Double Sums].
See also
- CSR non-Sec Delta Risk Weight
- CSR non-Sec Delta Risk Position
- CSR non-Sec Delta Risk Charge
- CSR non-Sec Delta Weighted Sensitivities
- CSR non-Sec Delta Sensitivities
- CSR non-Sec Delta Risk Position Correlations