FX Vega Risk Weight


Description The FX vega risk weights
Hierarchy(ies) required in the view:
Reference [MAR21.92]
Notation $RW_k$
Formula $$RW_k = min\left [ RW_\sigma \cdot \frac{\sqrt{LH_{risk class}}}{\sqrt{10}}; 100 \% \right ]$$

See also

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