FRTB Accelerator Cube GuideCSR non-Sec Vega Risk Position
| Description | The bucket-level capital charge for CSR non-Sec vega, also known as risk position, under the 'Medium correlations' scenario |
|---|---|
| Variations |
|
| Reference | [MAR21.4] |
| Notation | $K_b MediumCorr$ |
| Formula | $$K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[CSR non-Sec Buckets].
See also
- CSR non-Sec Vega Weighted Sensitivities
- CSR non-Sec Vega Risk Position Correlations
- CSR non-Sec Vega Risk Position Double Sums
- CSR non-Sec Vega Sensitivities
- CSR non-Sec Vega Risk Charge
- CSR non-Sec Vega Risk Weight