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FX Vega Risk Weight

sbm

Description	The FX vega risk weights
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].[FX Buckets], [Market Data].[Market Types].

See also