GIRR vega risk position


Description	The bucket-level capital charge for GIRR vega, also known as risk position, under the ‘Medium correlations’ scenario
Variations	euler, incremental, euler, high-low, netted, reported
Hierarchies required in the view	GIRR Buckets
Reference	[MAR21.4]
Notation	$K_b MediumCorr$
Formula	$\displaystyle K_{b} =\sqrt{max \left( 0, \sum _{k\in b} WS_{k}^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot WS_k \cdot WS_l\right)}$

⌘I