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