FRTB Accelerator Cube GuideCSR non-Sec Delta Risk Position
| Description | The bucket-level capital charge for CSR non-Sec delta also known as risk position, under the 'Medium correlations' scenario |
|---|---|
| Variations |
|
| Reference | [MAR21.4] |
| Notation | KbMediumCorr |
| Formula | Kb=√max(0,∑k∈bWS2k+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl) |
The measure requires having hierarchy(ies) in the view: [Buckets].[CSR non-Sec Buckets].
See also
- CSR non-Sec Delta Risk Position Double Sums
- CSR non-Sec Delta Risk Charge
- CSR non-Sec Delta Weighted Sensitivities
- CSR non-Sec Delta Risk Weight
- CSR non-Sec Delta Sensitivities
- CSR non-Sec Delta Risk Position Correlations