Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test configuration.html
Configuration files
test ../ test datastore.html
Data Stores
test ../ test database.html
Database
test ../ test input-files.html
Input Data
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/measure-variations.html
--
Measure variations
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html
---
Aggregated RiskCharge by Class
test ../ test cube/measures/standardisedapproach/commodity.html
---
Commodity
test ../ test cube/count.html
--- Count
test ../ test cube/measures/standardisedapproach/csr-non-sec.html
---
CSR non-Sec
test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html
---
CSR Sec CTP
test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html
---
CSR Sec non-CTP
test ../ test cube/measures/standardisedapproach/drc.html
---
DRC
test ../ test cube/measures/standardisedapproach/equity.html
---
Equity
test ../ test cube/measures/standardisedapproach/fx.html
---
FX
test ../ test cube/measures/standardisedapproach/girr.html
---
GIRR
test ../ test cube/measures/standardisedapproach/girr/curvature.html
----
Curvature
test ../ test cube/measures/standardisedapproach/girr/delta.html
----
Delta
test ../ test cube/measures/standardisedapproach/girr/vega.html
----
Vega
test ../ test cube/girr-vega-risk-charge.html
----- GIRR Vega Risk Charge
test ../ test cube/girr-vega-risk-position.html
----- GIRR Vega Risk Position
test ../ test cube/girr-vega-risk-position-correlations.html
----- GIRR Vega Risk Position Correlations
test ../ test cube/girr-vega-risk-position-double-sums.html
----- GIRR Vega Risk Position Double Sums
test ../ test cube/girr-vega-risk-weight.html
----- GIRR Vega Risk Weight
test ../ test cube/girr-vega-sensitivities.html
----- GIRR Vega Sensitivities
test ../ test cube/girr-vega-weighted-sensitivities.html
----- GIRR Vega Weighted Sensitivities
test ../ test cube/notional.html
--- Notional
test ../ test cube/notional-original-currency.html
--- Notional (Original Currency)
test ../ test cube/notional-original-currency-drc.html
--- Notional (Original Currency) DRC
test ../ test cube/notional-drc.html
--- Notional DRC
test ../ test cube/pv.html
--- PV
test ../ test cube/pv-drc.html
--- PV DRC
test ../ test cube/pv.ccy.html
--- PV.CCY
test ../ test cube/measures/standardisedapproach/rrao.html
---
RRAO
test ../ test cube/timestamp.html
--- Timestamp
test ../ test cube/measures/stresscalibration.html
--
StressCalibration
test ../ test cube/dimensions.html
-
Dimensions
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test what-if.html
What-If Analysis
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
GIRR Vega Risk Charge
Description
The GIRR vega risk charge based on the ‘Medium correlations’ scenario
Variations
Reference
[MAR21.4]
Formula
K = √ ∑ b K 2 b + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c , where S b = ∑ k W S k if ∑ b K 2 b + ∑ b ∑ c ≠ b γ b c ⋅ K b ⋅ K c > 0 else S b = m a x ( m i n ( ∑ k W S k , K b ) , − K b ) K = √ ∑ b K 2 b + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c , where S b = ∑ k W S k if ∑ b K 2 b + ∑ b ∑ c ≠ b γ b c ⋅ K b ⋅ K c > 0 else S b = m a x ( m i n ( ∑ k W S k , K b ) , − K b )
See also