FX Risk Charge

sbm

Description The risk charge for risk class FX across sensitivity types under the 'Medium correlations' scenario
Variations
Reference [MAR21.3]
Formula $$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$

See also

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