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Descriptiona parameter that gives recognition to the reduction in CVA risk across all counterparties arising from the bank’s use of index hedges.
Reference[MAR50.24]
NotationIHIH
FormulaIH=i(RWiMiBiDFi)IH =\sum_{i} \left( RW_{i} \cdot M_i \cdot B_{i} \cdot DF_i \right)