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