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CSR Sec CTP Risk Charge

sbm

Description The risk charge for risk class CSR Sec CTP across sensitivity types under the 'Medium correlations' scenario
Variations
  • <euler_numerical>
  • <incremental>
  • <pro_rata>
  • <high>
  • <low>
Reference [MAR21.3]
Formula $$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$

See also

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