| Description | The GIRR vega 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) |