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Commodity Vega Risk Position
| Description |
The bucket-level capital charge for commodity vega, also known as risk position, under the 'Medium correlations' scenario |
| Variations |
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| Hierarchy(ies) required in the view: |
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| Reference |
[MAR21.4] |
| Notation |
$K_b MediumCorr$ |
| Formula |
$$K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$$ |
See also
FRTB Accelerator Cubes Guide