GIRR Vega Risk Position

sbm
Description The bucket-level capital charge for GIRR vega, also known as risk position, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.4]
Notation KbMediumCorr
Formula Kb=max(0,kbWSk2+kblb,lkρklWSkWSl)

See also