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DescriptionCapital charge for Reference credit spread vega
Variations
Reference[MAR50.53]
NotationKK
FormulaK=mCVA⋅∑bKb2+∑b∑b≠cγbc⋅Sb⋅ScK=m_{CVA} \cdot \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{b\neq c}\gamma_{bc}\cdot S_b \cdot S_c}