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CSR non-Sec Delta Risk Position

sbm
Description The bucket-level capital charge for CSR non-Sec delta 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,kbWS2k+kblb,lkρklWSkWSl)

See also