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 ---- Vega ----- GIRR Vega Risk Charge ----- GIRR Vega Risk Position ----- GIRR Vega Risk Position Correlations ----- GIRR Vega Risk Position Double Sums ----- GIRR Vega Risk Weight ----- GIRR Vega Sensitivities ----- GIRR Vega Weighted Sensitivities --- 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 Vega Risk Weight sbm Description The GIRR vega risk weights Hierarchy(ies) required in the view [Buckets].[GIRR Buckets] Reference [MAR21.92] Notation RWk Formula RWk=min[RWσ⋅√LHriskclass√10;100%] See also GIRR Vega Risk Charge GIRR Vega Risk Position GIRR Vega Risk Position Correlations GIRR Vega Risk Position Double Sums GIRR Vega Sensitivities GIRR Vega Weighted Sensitivities GIRR Vega Risk Position Double Sums GIRR Vega Sensitivities
FRTB Accelerator Reference Guide v2.4.0