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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 |
Hierarchies required in the view |
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Notation |
$CR_b$ |
Formula |
$$CR_b = max\left ( 1, \sqrt{\frac{|\sum_{k,i}s_{k,i}|}{T_b}} \right )$$ |