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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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Crypto 2a Delta Sensitivities

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Crypto 2a Delta Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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Crypto 2a Delta Risk Weight

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Crypto 2a 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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Crypto 2a Delta Risk Position Correlations

For each bucket, the factors ρkl\rho_{kl} are set based on whether k and l are the same or not - represented by the levels in the hierarchy Crypto 2a Delta Double Sums.

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Crypto 2a 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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Crypto 2a Delta Risk Charge

Formula K=∑bKbK = \sum _{b} K_{b}

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Vega

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Crypto 2a Vega Sensitivities

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Crypto 2a Vega Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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Crypto 2a Vega Risk Weight

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Crypto 2a 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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Crypto 2a Vega Risk Position Correlations

For each bucket, the factors ρkl\rho_{kl} are set based on whether k and l are the same or not - represented by the levels in the hierarchy Crypto 2a Vega Double Sums.

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Crypto 2a 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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Crypto 2a Vega Risk Charge

Formula K=∑bKbK = \sum _{b} K_{b}

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Curvature

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Crypto 2a Curvature Delta Sensitivities

This measure matches Crypto 2a Delta Sensitivities for trades and risk factors having curvature risk charges.

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Crypto 2a Curvature Delta Weighted Sensitivities

Formula RWk(curvature)⋅sikRW_k^{(curvature)} \cdot s_{ik} This measure matches Crypto 2a Delta Sensitivities for trades and risk factors having curvature risk charges.

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Crypto 2a Curvature shock-up prices

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Crypto 2a Curvature shock-down prices

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Crypto 2a 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 Crypto 2a Curvature CVR Up can be replicated with these measures: Crypto 2a Curvature shock-up prices minus Crypto 2a Curvature Delta Weighted Sensitivities.

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Crypto 2a 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 Crypto 2a Curvature CVR Down can be replicated with these measures: Crypto 2a Curvature shock-down prices plus Crypto 2a Curvature Delta Weighted Sensitivities.

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Crypto 2a Curvature CVR

The measure Crypto 2a Curvature CVR can be replicated by selecting either the Crypto 2a Curvature CVR Up or Crypto 2a Curvature CVR Down based on the scenario value of Crypto 2a Curvature Bucket Scenario.

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Crypto 2a Curvature Risk Position Up

Formula Kb+=∑k∈bmax(CVRk+,0)K_{b}^{+} = \sum _{k\in b} max(CVR_k^{+},0)

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Crypto 2a Curvature Risk Position Down

Formula Kb−=∑k∈bmax(CVRk−,0)K_{b}^{-} =\sum _{k\in b} max(CVR_k^{-},0)

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Crypto 2a Curvature Risk Position Scenario

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Crypto 2a Curvature Risk Position

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

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Crypto 2a Curvature Bucket Scenario

The measure Crypto 2a Curvature Bucket Scenario can be replicated by evaluating Crypto 2a Curvature Risk Position Scenario at the Crypto 2a Buckets level.

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Crypto 2a Curvature Risk Weight

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Crypto 2a Curvature Risk Charge

Formula Curvature risk=∑bKbCurvature\ risk = \sum _{b} K_{b}