Navigation :
[Double Sums].[GIRR Vega Double Sums]
| Description |
The levels of this hierarchy describe all the possible combinations for determining vega risk factor correlations for risk class GIRR |
| Reference |
[MAR21.93] |
| Dimension |
Double Sums |
| Hierarchy |
GIRR Vega Double Sums |
| Levels |
[ALL, OptionMaturity1, OptionMaturity2, UnderlyingMaturity1, UnderlyingMaturity2] |
FRTB Accelerator Cubes Guide