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