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Each subsection below lists the risk weight, sensitivities, risk position, and risk charge measures for the corresponding calculation stage. Jump to the relevant section:
Required hierarchies must be present in the query for the measure to evaluate correctly.

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Delta

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Commodity Delta Sensitivities

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Commodity Delta Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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Commodity Delta Risk Weight

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Commodity Delta Risk Position Double Sums

Formula ∑k∈b∑l∈b⋅WSk⋅WSl\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l

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Commodity Delta Risk Position Correlations

For each bucket, the factors ρklcty\rho_{kl}^{cty}, ρkltenor\rho_{kl}^{tenor} and ρklbasis\rho_{kl}^{basis} are looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy Commodity Delta Double Sums.

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Commodity Delta Risk Position

Formula Kb=max(0,∑k∈bWSk2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)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)}

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Commodity Delta Risk Charge

Formula K=∑bKb2+∑b∑c≠bγbc⋅Sb⋅Scwhere Sb=∑kWSk if ∑bKb2+∑b∑c≠bγbc⋅Kb⋅Kc>0else Sb=max(min(∑kWSk,Kb),−Kb)\begin{aligned} &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) \end{aligned}

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Vega

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Commodity Vega Sensitivities

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Commodity Vega Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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Commodity Vega Risk Weight

Formula RWk=min⁡[RWσ⋅LHriskclass10;100%]RW_k = \min\left[RW_\sigma \cdot \frac{\sqrt{LH_{riskclass}}}{\sqrt{10}}; 100\%\right]

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Commodity Vega Risk Position Double Sums

Formula ∑k∈b∑l∈b⋅WSk⋅WSl\sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l

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Commodity Vega Risk Position Correlations

Formula ρkl=min[ρklDELTA⋅ρkloption maturity;1]\rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]

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Commodity Vega Risk Position

Formula Kb=max(0,∑k∈bWSk2+∑k∈b∑l∈b,l≠kρkl⋅WSk⋅WSl)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)}

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Commodity Vega Risk Charge

Formula K=∑bKb2+∑b∑c≠bγbc⋅Sb⋅Scwhere Sb=∑kWSk if ∑bKb2+∑b∑c≠bγbc⋅Kb⋅Kc>0else Sb=max(min(∑kWSk,Kb),−Kb)\begin{aligned} &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) \end{aligned}

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Curvature

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Commodity Curvature Delta Sensitivities

This measure matches Commodity Delta Sensitivities for trades and risk factors having curvature risk charges.

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Commodity Curvature Delta Weighted Sensitivities

Formula RWk(curvature)⋅sikRW_k^{(curvature)} \cdot s_{ik} This measure matches Commodity Delta Sensitivities for trades and risk factors having curvature risk charges.

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Commodity Curvature shock-up prices

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Commodity Curvature shock-down prices

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Commodity Curvature CVR Up

Formula −∑i{Vi(xk(RW(curvature)+))−Vi(xk)−RWk(curvature)⋅sik)}-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \} The measure Commodity Curvature CVR Up can be replicated with these measures: Commodity Curvature shock-up prices minus Commodity Curvature Delta Weighted Sensitivities.

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Commodity Curvature CVR Down

Formula −∑i{Vi(xk(RW(curvature)−))−Vi(xk)+RWk(curvature)⋅sik)}-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \} The measure Commodity Curvature CVR Down can be replicated with these measures: Commodity Curvature shock-down prices plus Commodity Curvature Delta Weighted Sensitivities.

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Commodity Curvature CVR

The measure Commodity Curvature CVR can be replicated by selecting either the Commodity Curvature CVR Up or Commodity Curvature CVR Down based on the scenario value of Commodity Curvature Bucket Scenario

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Commodity Curvature Risk Position Up

Formula Kb+=max(0,∑k∈bmax(CVRk+,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVRk+⋅CVRl+⋅ψ(CVRk+,CVRl+))K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}

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Commodity Curvature Risk Position Down

Formula Kb−=max(0,∑k∈bmax(CVRk−,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVRk−⋅CVRl−⋅ψ(CVRk−,CVRl−))K_{b}^{-} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{-},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{-} \cdot CVR_l^{-} \cdot \psi(CVR_k^{-},CVR_l^{-})\right)}

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Commodity Curvature Risk Position Scenario

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Commodity Curvature Risk Position

Formula Kb=max(Kb+,Kb−)K_b=max(K_b^{+},K_b^{-})

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Commodity Curvature Bucket Scenario

The measure Commodity Curvature Bucket Scenario can be replicated by evaluating Commodity Curvature Risk Position Scenario at the Commodity Buckets level.

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Commodity Curvature Sb

Formula Sb=∑kCVRk+ when scenario is upward, Sb=∑kCVRk− when scenario is downwardS_b = \sum_k CVR_k^{+}\text{ when scenario is upward, } S_b = \sum_k CVR_k^{-}\text{ when scenario is downward}

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Commodity Curvature Risk Weight

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Commodity Curvature Risk Charge

Formula Curvature risk=max(0,∑bKb2+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc))Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}