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sbm
DescriptionThe risk charge for risk class GIRR across sensitivity types under the ‘Medium correlations’ scenario
Variationseuler, incremental, pro_rata, high-low
Reference[MAR21.3]
FormulaRiskCharge_MediumCorrDelta+RiskCharge_MediumCorrVega+RiskCharge_MediumCorrCurvature\displaystyle RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}