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 ---- Vega ----- FX Vega Risk Charge ----- FX Vega Risk Position ----- FX Vega Risk Position Correlations ----- FX Vega Risk Position Double Sums ----- FX Vega Risk Weight ----- FX Vega Sensitivities ----- FX Vega Weighted Sensitivities --- 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 Vega Weighted Sensitivities sbm Description The weighted FX vega Reference [MAR21.4] Notation $WS_k$ Formula $$WS_k=RW_k \cdot s_k$$ See also FX Vega Risk Charge FX Vega Risk Position FX Vega Risk Position Correlations FX Vega Risk Position Double Sums FX Vega Risk Weight FX Vega Sensitivities FX Vega Sensitivities GIRR
FRTB Accelerator Reference Guide v3.0.0