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 ---- Vega ----- Commodity Vega Risk Charge ----- Commodity Vega Risk Position ----- Commodity Vega Risk Position Correlations ----- Commodity Vega Risk Position Double Sums ----- Commodity Vega Risk Weight ----- Commodity Vega Sensitivities ----- Commodity Vega Weighted Sensitivities --- 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 Vega Weighted Sensitivities sbm Description The weighted commodity vega Reference [MAR21.4] Notation $WS_k$ Formula $$WS_k=RW_k \cdot s_k$$ See also Commodity Vega Risk Charge Commodity Vega Risk Position Commodity Vega Risk Position Correlations Commodity Vega Risk Position Double Sums Commodity Vega Risk Weight Commodity Vega Sensitivities Commodity Vega Sensitivities Count
FRTB Accelerator Reference Guide v2.4.0