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