FRTB Accelerator Cube GuideCSR Sec CTP Vega Risk Position
| Description | The bucket-level capital charge for CSR Sec CTP vega, also known as risk position, under the 'Medium correlations' scenario |
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| Variations |
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| 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 Sec CTP Buckets].
See also
- CSR Sec CTP Vega Weighted Sensitivities
- CSR Sec CTP Vega Risk Weight
- CSR Sec CTP Vega Sensitivities
- CSR Sec CTP Vega Risk Position Double Sums
- CSR Sec CTP Vega Risk Position Correlations