FRTB Accelerator Cube GuideMedium Risk Charge
| Description | The sensitivities based risk charge, under Medium correlations scenario as if all positions are under SA |
|---|---|
| Variations |
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| Reference | [MAR21.7] |
| Formula | $$\sum_{rc \in risk classes} RiskCharge\_MediumCorr_{rc}$$ |
This measure is a simple sum of risk charges across risk classes/ sensitivity types for ‘Medium correlations’ scenario.
See also
- FX Risk Charge
- Equity Risk Charge
- CSR Sec CTP Risk Charge
- CSR non-Sec Risk Charge
- GIRR Risk Charge
- Commodity Risk Charge
- SBM Risk Charge
- CSR Sec non-CTP Risk Charge