Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP --- CSR Sec non-CTP --- DRC --- Equity --- FX ---- Curvature ---- Delta ---- Vega ----- FX Vega Risk Charge ----- FX Vega Risk Position ----- FX Vega Risk Position Correlations ----- FX Vega Risk Position Double Sums ----- FX Vega Risk Weight ----- FX Vega Sensitivities ----- FX Vega Weighted Sensitivities --- 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 FX Vega Risk Weight Description The FX vega risk weights Hierarchy(ies) required in the view: [Buckets].[FX Buckets] Reference [MAR21.92] Notation RWk Formula RWk=min[RWσ⋅√LHriskclass√10;100%] See also FX Vega Risk Charge FX Vega Risk Position FX Vega Risk Position Correlations FX Vega Risk Position Double Sums FX Vega Sensitivities FX Vega Weighted Sensitivities FX Vega Risk Position Double Sums FX Vega Sensitivities
FRTB Accelerator Cubes Guide