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CSR Sec CTP Vega Risk Charge

sbm

Description The CSR Sec CTP vega risk charge based on the 'Medium correlations' scenario
Variations
  • <euler>
  • <incremental>
  • <euler_numerical>
  • <pro_rata>
  • <high>
  • <low>
Reference [MAR21.4]
Formula $$K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b)$$
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