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Documentation Index

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sbm
DescriptionThe bucket level capital requirement under the upward scenario
Variationshigh-low
Hierarchies required in the viewCommodity Buckets
Reference[MAR21.5]
NotationKb+K_{b}^{+}
FormulaKb+=max(0,∑k∈bmax(CVRk+,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVRk+⋅CVRl+⋅ψ(CVRk+,CVRl+))\displaystyle K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}