Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity ---- Curvature ---- Delta ----- Commodity Delta Risk Charge ----- Commodity Delta Risk Position ----- Commodity Delta Risk Position Correlations ----- Commodity Delta Risk Position Double Sums ----- Commodity Delta Risk Weight ----- Commodity Delta Sensitivities ----- Commodity Delta Weighted Sensitivities ---- Vega --- Count --- CSR non-Sec --- CSR Sec CTP --- 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 - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Commodity Delta Weighted Sensitivities sbm Description The weighted commodity delta Reference [MAR21.4] Notation $WS_k$ Formula $$WS_k=RW_k \cdot s_k$$ See also Commodity Delta Risk Charge Commodity Delta Risk Position Commodity Delta Risk Position Correlations Commodity Delta Risk Position Double Sums Commodity Delta Risk Weight Commodity Delta Sensitivities Commodity Delta Sensitivities Vega
FRTB Accelerator Reference Guide v2.4.0