FRTB Accelerator Cube GuideCSR Sec non-CTP Delta Risk Position Double Sums
| Description | The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula |
|---|---|
| Reference | [MAR21.4] |
| Formula | $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$ |
The measure requires having hierarchy(ies) in the view: [Double Sums].[CSR Sec non-CTP Delta Double Sums], [Buckets].[CSR Sec non-CTP Buckets].
See also
- CSR Sec non-CTP Delta Risk Charge
- CSR Sec non-CTP Delta Risk Weight
- CSR Sec non-CTP Delta Weighted Sensitivities
- CSR Sec non-CTP Delta Risk Position
- CSR Sec non-CTP Delta Sensitivities
- CSR Sec non-CTP Delta Risk Position Correlations