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DescriptionThe bucket-level capital charge for CSR non-Sec vega, also known as risk position, under the ‘Medium correlations’ scenario
Variationseuler, incremental, euler, high-low, netted, reported
Hierarchies required in the viewCSR non-Sec Buckets
Reference[MAR21.4]
NotationKbMediumCorrK_b MediumCorr
FormulaKb=max(0,∑k∈bWSk2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)\displaystyle K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}