SBM Correlation Scenario

This string-valued measure indicates which correlation scenario had the highest Risk Charge and hence was selected for the SBM risk Charge. It can take values “low”, “medium” and “high”.

If the Correlation Scenario hierarchy is used, you can fix the scenario to High, Low, Medium or reference.

See also

• CSR Sec CTP Risk Charge
• CSR Sec non-CTP Risk Charge
• CSR non-Sec Risk Charge
• Commodity Risk Charge
• Crypto 2a Risk Charge
• Equity Risk Charge
• FX Risk Charge
• GIRR Risk Charge
• Medium Risk Charge
• SBM Risk Charge
• SBM Risk Charge (reference scenario)