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 Weighted Sensitivities sbm Description The weighted GIRR vega Reference [MAR21.4] Notation $WS_k$ Formula $$WS_k=RW_k \cdot s_k$$ See also 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 Sensitivities Notional
FRTB Accelerator Reference Guide v2.4.0