FRTB Accelerator Cube GuideEquity Vega Risk Weight
| Description | The equity vega risk weightes, set separately for spot and repo risk factors |
|---|---|
| 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].[Equity Buckets], [Market Data].[Market Types].
See also
- Equity Vega Sensitivities
- Equity Vega Risk Position Double Sums
- Equity Vega Risk Position Correlations
- Equity Vega Risk Position
- Equity Vega Weighted Sensitivities
- Equity Vega Risk Charge