FRTB Accelerator Cube GuideCSR Sec non-CTP Vega Risk Weight
| Description | The CSR Sec non-CTP vega risk weights |
|---|---|
| Reference | [MAR21.92] |
| Notation | RWk |
| Formula | RWk=min[RWσ⋅√LHriskclass√10;100%] |
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