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IM_CreditNonQ_VegaMargin
Description |
Margin aggregation from Credit Non Qualifying Vega sensitivities |
Notation |
$VegaMargin$ |
Formula |
$$VegaMargin =\sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{b \neq c} \gamma_{bc}} \ g_{{bc}} \ S_{b} \ S_{c}} + K_{residual}$$ |