Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity ---- Curvature ---- Delta ---- Vega ----- Commodity Vega Risk Charge ----- Commodity Vega Risk Position ----- Commodity Vega Risk Position Correlations ----- Commodity Vega Risk Position Double Sums ----- Commodity Vega Risk Weight ----- Commodity Vega Sensitivities ----- Commodity Vega Weighted Sensitivities --- Count --- CSR non-Sec --- CSR Sec CTP --- CSR Sec non-CTP --- DRC --- Equity --- FX --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Commodity Vega Risk Weight sbm Description The commodity vega risk weights Hierarchy(ies) required in the view: [Buckets].[Commodity Buckets] Reference [MAR21.92] Notation RWk Formula RWk=min[RWσ⋅√LHriskclass√10;100%] See also Commodity Vega Risk Charge Commodity Vega Risk Position Commodity Vega Risk Position Correlations Commodity Vega Risk Position Double Sums Commodity Vega Sensitivities Commodity Vega Weighted Sensitivities Commodity Vega Risk Position Double Sums Commodity Vega Sensitivities
FRTB Accelerator Cubes Guide