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Equity Vega Risk Weight
Description |
The equity vega risk weights, set separately for spot and repo risk factors |
Hierarchies required in the view |
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Reference |
[MAR21.92] |
Notation |
$RW_k$ |
Formula |
$$RW_k = min\left [ RW_\sigma \cdot \frac{\sqrt{LH_{risk class}}}{\sqrt{10}}; 100 \% \right ]$$ |
See also