Navigation :
Equity Vega Risk Weight
Description |
The equity vega risk weightes, set separately for spot and repo risk factors |
Reference |
[MAR21.92] |
Notation |
RWk |
Formula |
RWk=min[RWσ⋅√LHriskclass√10;100%] |
The measure requires having hierarchy(ies) in the view: [Buckets].[Equity Buckets], [Market Data].[Market Types].
See also