☰
Navigation :

CSR non-Sec Risk Charge

sbm

Description The risk charge for risk class CSR non-Sec across sensitivity types under the 'Medium correlations' scenario
Variations
  • <euler_numerical>
  • <incremental>
  • <pro_rata>
  • <high>
  • <low>
Reference [MAR21.4]
Formula $$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$

See also

search.js