FRTB Accelerator Cube GuideGIRR Vega 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 | ∑k∈b∑l∈b⋅WSk⋅WSl |
Sum of cross product of the weighted sensitivities under the square root in the bucket-level charge formula Kb.
The measure requires having hierarchy(ies) in the view: [Double Sums].[GIRR Vega Double Sums], [Buckets].[GIRR Buckets].
See also
- GIRR Vega Risk Position
- GIRR Vega Sensitivities
- GIRR Vega Risk Position Correlations
- GIRR Vega Risk Weight
- GIRR Vega Risk Charge
- GIRR Vega Weighted Sensitivities