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