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CSR non-Sec Vega Risk Charge

sbm
Description The CSR non-Sec vega risk charge based on the ‘Medium correlations’ scenario
Variations
Reference [MAR21.4]
Formula K=bK2b+bcbγbcSbSc, where Sb=kWSk if bK2b+bcbγbcKbKc>0 else Sb=max(min(kWSk,Kb),Kb)

See also