Navigation :
IM_CreditQ_VegaMargin
| Description |
Margin aggregation from Credit vega sensitivities |
| Notation |
$VegaMargin$ |
| Formula |
$$Margin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \cdot g_{b,c} \cdot S_{b} \cdot S_{c}}} + K_{residual}$$ |