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