Loading [MathJax]/jax/output/CommonHTML/fonts/TeX/fontdata.js

Commodity Vega Risk Charge

sbm
Description The commodity vega risk charge based on the ‘Medium correlations’ scenario
Variations
Reference [MAR21.4]
Formula K=bK2b+bcbγbcSbSc, where Sb=kWSk if bK2b+bcbγbcKbKc>0 else Sb=max(min(kWSk,Kb),Kb)

See also