FRTB Accelerator Cube GuideGIRR Delta Risk Position Double Sums
| Description | The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula |
|---|---|
| Reference | [MAR21.4] |
| Formula | $$\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l$$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[GIRR Buckets], [Double Sums].[GIRR Delta Double Sums].
See also
- GIRR Delta Risk Charge
- GIRR Delta Risk Position
- GIRR Delta Risk Position Correlations
- GIRR Delta Weighted Sensitivities
- GIRR Delta Risk Weight
- GIRR Delta Sensitivities