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FX Vega Risk Charge
Description |
The FX vega risk charge based on the ‘Medium correlations’ scenario |
Variations |
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Reference |
[MAR21.4] |
Formula |
K=√∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc, where Sb=∑kWSk if ∑bK2b+∑b∑c≠bγbc⋅Kb⋅Kc>0 else Sb=max(min(∑kWSk,Kb),−Kb) |
See also