Navigation : test ../ test user-getting-started.html Getting started test ../ test release-notes.html Release and migration notes test ../ test build-configure-project.html Building and configuring Atoti ISDA-SIMM test ../ test dev-core.html SIMM Core test ../ test dev-ui-config.html Configuring the UI test ../ test calculations.html Calculations guide test ../ test configuration.html Configuration files test ../ test cube.html Cube reference test ../ test cube/measures.html - Measures test ../ test cube/measures/additional-margin.html -- Additional Margin test ../ test cube/measures/bucket-level-margin.html -- Bucket level margin test ../ test cube/measures/interim-results.html -- Interim results test ../ test cube/measures/risk-class-level-margin.html -- Risk class level margin test ../ test cube/measures/schedule.html -- Schedule test ../ test cube/measures/sensitivities.html -- Sensitivities test ../ test cube/measures/sensitivity-level-margin.html -- Sensitivity level margin test ../ test cube/im_commodity_curvaturemargin.html --- IM_Commodity_CurvatureMargin test ../ test cube/im_commodity_deltamargin.html --- IM_Commodity_DeltaMargin test ../ test cube/im_commodity_vegamargin.html --- IM_Commodity_VegaMargin test ../ test cube/im_creditnonq_curvaturemargin.html --- IM_CreditNonQ_CurvatureMargin test ../ test cube/im_creditnonq_deltamargin.html --- IM_CreditNonQ_DeltaMargin test ../ test cube/im_creditnonq_vegamargin.html --- IM_CreditNonQ_VegaMargin test ../ test cube/im_creditq_basecorrmargin.html --- IM_CreditQ_BaseCorrMargin test ../ test cube/im_creditq_curvaturemargin.html --- IM_CreditQ_CurvatureMargin test ../ test cube/im_creditq_deltamargin.html --- IM_CreditQ_DeltaMargin test ../ test cube/im_creditq_vegamargin.html --- IM_CreditQ_VegaMargin test ../ test cube/im_equity_curvaturemargin.html --- IM_Equity_CurvatureMargin test ../ test cube/im_equity_deltamargin.html --- IM_Equity_DeltaMargin test ../ test cube/im_equity_vegamargin.html --- IM_Equity_VegaMargin test ../ test cube/im_fx_curvaturemargin.html --- IM_FX_CurvatureMargin test ../ test cube/im_fx_deltamargin.html --- IM_FX_DeltaMargin test ../ test cube/im_fx_vegamargin.html --- IM_FX_VegaMargin test ../ test cube/im_ir_curvaturemargin.html --- IM_IR_CurvatureMargin test ../ test cube/im_ir_deltamargin.html --- IM_IR_DeltaMargin test ../ test cube/im_ir_vegamargin.html --- IM_IR_VegaMargin test ../ test cube/measures/weighted-sensitivities.html -- Weighted sensitivities test ../ test cube/additional-margin.html -- Additional Margin test ../ test cube/count.html -- Count test ../ test cube/fxrate.html -- FxRate test ../ test cube/simm.html -- SIMM test ../ test cube/total-im.html -- Total IM test ../ test cube/total-im-segregated.html -- Total IM Segregated test ../ test cube/total-im-unsegregated.html -- Total IM Unsegregated test ../ test cube/worst-regulation.html -- Worst Regulation test ../ test cube/dimensions.html - Dimensions test ../ test datastores.html Datastores test ../ test input-files.html Input file formats test ../ test what-if.html What-If Analysis test ../ test widgets.html Widgets test ../ test pdf-guides.html PDF Guides IM_CreditQ_DeltaMargin Description Margin aggregation from Credit delta sensitivities Notation $DeltaMargin$ Formula $$DeltaMargin = \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c} \ S_{b} \ S_{c}}} + K_{residual}$$ IM_CreditQ_CurvatureMargin IM_CreditQ_VegaMargin