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DescriptionA hedging misalignment parameter, which is designed to limit the extent to which indirect hedges can reduce capital requirements given that they will not fully offset movements in a counterparty’s credit spread.
Reference[MAR50.25]
NotationcHMA\sum_{c} HMA
FormulacHMA=chc(1rhc2)(RWhMhBhDFh)2\sum_{c} HMA=\sum_{c} \sum_{h \in c} \left(1- r_{hc}^2 \right) \cdot \left( RW_{h} \cdot M_h \cdot B_{h} \cdot DF_h \right)^2

See also