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Medium Risk Charge
| Description |
The sensitivities based risk charge, under Medium correlations scenario as if all positions are under SA |
| Variations |
|
| Reference |
[MAR21.7] |
| Formula |
$$\sum_{rc \in risk classes} RiskCharge\_MediumCorr_{rc}$$ |
This measure is a simple sum of risk charges across risk classes/ sensitivity types for ‘Medium correlations’ scenario.
See also
FRTB Accelerator Reference Guide v2.4.0