| Description | The CSR non-Sec delta risk charge based on the ‘Medium correlations’ scenario |
| Variations | euler, incremental, euler, pro_rata, high-low, netted, reported |
| Reference | [MAR21.4] |
| Formula | K=b∑Kb2+b∑c=b∑γbc⋅Sb⋅Sc, where Sb=k∑WSk if b∑Kb2+b∑c=b∑γbc⋅Kb⋅Kc>0 else Sb=max(min(k∑WSk,Kb),−Kb) |
CSR non-sec delta risk charge
The CSR non-Sec Delta Risk Charge in FRTBCombinedCube, the SA delta capital charge for the CSR non-Sec risk class under medium correlations per Basel MAR21.4, with Euler, Incremental, and High-Low variations