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FX Delta Risk Position

sbm

Description	The bucket-level capital charge for FX delta also known as risk position, under the 'Medium correlations' scenario
Variations	<euler> <incremental> <euler_numerical> <high> <low>
Reference	[MAR21.4]
Notation	$K_b MediumCorr$
Formula	$K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$

The measure requires having hierarchy(ies) in the view: [Buckets].[FX Buckets].

See also