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