> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# FX vega risk charge

<Badge color="gray" size="lg">[sbm](../tags/sbm)</Badge>

|                 |                                                                                                                                                                                                                                                                                                  |
| --------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |
| **Description** | The FX vega risk charge based on the ‘Medium correlations’ scenario                                                                                                                                                                                                                              |
| **Variations**  | [euler](./euler), [incremental](./incremental), [euler](./euler), [pro\_rata](./pro_rata), [high-low](./high-low), [netted](./netted), [reported](./reported)                                                                                                                                    |
| **Reference**   | [\[MAR21.4\]](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_4)                                                                                                                                                        |
| **Formula**     | $\displaystyle K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b)$ |