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Delta/Vega/Curvature Risk Weight
The
Delta/Vega/Curvature Risk Weight
measures are $RW_k$ in [MAR21.4](3) and
$RW_k^{(Curvature)}$ in [MAR21.5](2)(e).
For Delta and Curvature, following [MAR21.82], the values are
looked up based on the configuration for the Risk Factor’s Bucket.
For Vega, following [MAR21.92], the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).