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FX Risk Charge
| Description |
The risk charge for risk class FX across sensitivity types under the 'Medium correlations' scenario |
| Variations |
- <euler_numerical>
- <incremental>
- <pro_rata>
- <high>
- <low>
|
| Reference |
[MAR21.3] |
| Formula |
$$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$ |
See also
FRTB Accelerator Cube Guide