FRTB Accelerator Cube GuideExoticResidualRiskWeight
| Description | Controls risk weight for trades with exotic underlying in RRAO formula |
|---|
You can type a new risk weight (in %) to overwrite the default value for a parameter set and recompute Residual Risk Add On measure.
In the default parameters set, the risk weights are defined as: 1% for exotic and 0.1% for other (see BCBS 352 paragraph 58 c).