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IM_CreditNonQ_DeltaMargin
| Description |
Margin aggregation from Credit Non Qualifying delta sensitivities |
| Notation |
$DeltaMargin$ |
| Formula |
$$DeltaMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \ S_{b} \ S_{c}}} + K_{residual}$$ |