FX Vega Risk Position

sbm
Description The bucket-level capital charge for FX vega, also known as risk position, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.4]
Notation KbMediumCorrKbMediumCorr
Formula Kb=max(0,kbWS2k+kblb,lkρklWSkWSl)Kb= max0,kbWS2k+kblb,lkρklWSkWSl

See also