SBM Risk Charge

The measure computes worst of the three correlations scenarios and returns either High Risk Charge, Low Risk Charge or Medium Risk Charge.

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 Correlation Scenario
• SBM Risk Charge (reference scenario)