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sbm
DescriptionThe risk charge for risk class Crypto 2a across sensitivity types under the ‘Medium correlations’ scenario
Variationshigh-low
Reference[MAR21.4]
FormulaRiskCharge_MediumCorrDelta+RiskCharge_MediumCorrVega+RiskCharge_MediumCorrCurvature\displaystyle RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}