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 --- DRC --- Equity ---- Curvature ---- Delta ---- Vega ----- Equity Vega Risk Charge ----- Equity Vega Risk Position ----- Equity Vega Risk Position Correlations ----- Equity Vega Risk Position Double Sums ----- Equity Vega Risk Weight ----- Equity Vega Sensitivities ----- Equity Vega Weighted Sensitivities --- 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 Equity Vega Risk Weight sbm Description The equity vega risk weights, set separately for spot and repo risk factors Hierarchy(ies) required in the view [Buckets].[Equity Buckets] Reference [MAR21.92] Notation RWk Formula RWk=min[RWσ⋅√LHriskclass√10;100%] See also Equity Vega Risk Charge Equity Vega Risk Position Equity Vega Risk Position Correlations Equity Vega Risk Position Double Sums Equity Vega Sensitivities Equity Vega Weighted Sensitivities Equity Vega Risk Position Double Sums Equity Vega Sensitivities
FRTB Accelerator Reference Guide v2.4.0