Navigation :
CR_b_IR
| Description |
Concentration risk factor for interest rates delta. Please note that a value of 1 is applied as CR_b for Risk Type RIsk_XCcyBasis |
| Hierarchy(ies) required in the view |
|
| Notation |
$CR_b$ |
| Formula |
$$CR_b = max\left ( 1, \sqrt{\frac{|\sum_{k,i}s_{k,i}|}{T_b}} \right )$$ |