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DescriptionBucket-level capital charge for Vega COMM
Reference[MAR50.52]
NotationKbK_b
FormulaKb=(∑k∈b(WSk)2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)+R⋅∑k∈b((WSkHdg)2)K_b=\sqrt{\left(\sum _{k\in b} (WS_{k})^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)+R\cdot\sum_{k \in b}\left( (WS^{Hdg}_{k})^2\right)}
The measure requires having hierarchy [RegulatoryBucket].[RegulatoryBucket] in the view.