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Equity Vega Risk Weight

sbm

Description The equity vega risk weightes, set separately for spot and repo risk factors
Reference [MAR21.92]
Notation RWk
Formula RWk=min[RWσLHriskclass10;100%]

The measure requires having hierarchy(ies) in the view: [Buckets].[Equity Buckets], [Market Data].[Market Types].

See also

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