CSR non-Sec Vega Risk Charge
The CSR non-Sec vega risk charge based on the ‘Medium correlations’ scenario
CSR non-Sec Vega Risk Position Correlations
The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
CSR non-Sec Vega Risk Position Double Sums
The sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula
CSR non-Sec Vega Risk Position
The bucket-level capital charge for CSR non-Sec vega, also known as risk position, under the ‘Medium correlations’ scenario
CSR non-Sec Vega Risk Weight
The CSR non-Sec vega risk weights
CSR non-Sec Vega Sensitivities
The CSR non-Sec vega
CSR non-Sec Vega Weighted Sensitivities
The weighted CSR non-Sec vega