Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP ---- Curvature ---- Delta ----- CSR Sec CTP Delta Risk Charge ----- CSR Sec CTP Delta Risk Position ----- CSR Sec CTP Delta Risk Position Correlations ----- CSR Sec CTP Delta Risk Position Double Sums ----- CSR Sec CTP Delta Risk Weight ----- CSR Sec CTP Delta Sensitivities ----- CSR Sec CTP Delta Weighted Sensitivities ---- Vega --- 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 CSR Sec CTP Delta Weighted Sensitivities sbm Description The weighted CSR Sec CTP delta Reference [MAR21.4] Notation $WS_k$ Formula $$WS_k=RW_k \cdot s_k$$ See also CSR Sec CTP Delta Risk Charge CSR Sec CTP Delta Risk Position CSR Sec CTP Delta Risk Position Correlations CSR Sec CTP Delta Risk Position Double Sums CSR Sec CTP Delta Risk Weight CSR Sec CTP Delta Sensitivities CSR Sec CTP Delta Sensitivities Vega
FRTB Accelerator Cubes Guide