Navigation :
IM_CreditQ
| Description |
Credit Qualifying margin across sensitivity types. Regulation hierarchy is required. |
| Notation |
$IM_{RiskClass}$ |
| Formula |
$$IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}$$ |