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CSR Sec non-CTP Risk Charge

sbm
Description The risk charge for risk class CSR Sec non-CTP across sensitivity types under the ‘Medium correlations’ scenario
Variations
Reference [MAR21.3]
Formula RiskCharge_MediumCorrDelta+RiskCharge_MediumCorrVega+RiskCharge_MediumCorrCurvature

See also