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Commodity Delta Risk Charge
| Description |
The Commodity delta risk charge based on the 'Medium correlations' scenario |
| Variations |
|
| Reference |
[MAR21.4] |
| Formula |
$$K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b)$$ |
See also
FRTB Accelerator Cubes Guide