FRTB Accelerator Cube GuideCSR Sec non-CTP Vega Risk Weight
| Description | The CSR Sec non-CTP vega risk weights |
|---|---|
| Reference | [MAR21.92] |
| Notation | $RW_k$ |
| Formula | $$RW_k = min\left [ RW_\sigma \cdot \frac{\sqrt{LH_{risk class}}}{\sqrt{10}}; 100 \% \right ]$$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[CSR Sec non-CTP Buckets], [Market Data].[Market Types].
See also
- CSR Sec non-CTP Vega Sensitivities
- CSR Sec non-CTP Vega Risk Position Correlations
- CSR Sec non-CTP Vega Risk Position Double Sums
- CSR Sec non-CTP Vega Weighted Sensitivities
- CSR Sec non-CTP Vega Risk Charge
- CSR Sec non-CTP Vega Risk Position