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CSR non-Sec Vega Risk Position
Description |
The bucket-level capital charge for CSR non-Sec vega, also known as risk position, under the ‘Medium correlations’ scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.4] |
Notation |
KbMediumCorrKbMediumCorr |
Formula |
Kb=√max(0,∑k∈bWS2k+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)Kb=
⎷max⎛⎝0,∑k∈bWS2k+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl⎞⎠ |
See also