CSR Sec non-CTP Delta Risk Position

sbm
Description The bucket-level capital charge for CSR Sec non-CTP 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,kbWSk2+kblb,lkρklWSkWSl)

See also