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Residual Risk Add On

rrao

Description	The Residual risk add-on, RRAO
Variations	<incremental> <pro_rata> <euler_numerical>
Reference	[MAR23.8]
Formula	$$RRAO = Addon \cdot Gross Notional$$

Residual Risk Add On is computed for trades bearing residual risk as a percentage of gross notional.

Trades bearing residual risk can be filtered using hierarchy [Risk].[Risk Classes] value “RRAO”.

See also