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Documentation Index

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sbm
DescriptionThe equity vega risk weights, set separately for spot and repo risk factors
Hierarchies required in the viewEquity Buckets
Reference[MAR21.92]
NotationRWkRW_k
FormulaRWk=min[RWσLHriskclass10;100%]\displaystyle RW_k = \min\left[RW_\sigma \cdot \frac{\sqrt{LH_{riskclass}}}{\sqrt{10}}; 100\%\right]