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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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CSR Sec CTP Delta Sensitivities

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CSR Sec CTP Delta Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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CSR Sec CTP Delta Risk Weight

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CSR Sec CTP 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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CSR Sec CTP Delta Risk Position Correlations

Correlation parameter ρkl\rho_{kl} between delta sensitivities within the same bucket (‘medium’ correlation scenario).

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CSR Sec CTP 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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CSR Sec CTP 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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CSR Sec CTP Vega Sensitivities

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CSR Sec CTP Vega Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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CSR Sec CTP Vega Risk Weight

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

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CSR Sec CTP 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 Sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula KbK_b.

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CSR Sec CTP Vega Risk Position Correlations

Correlation parameter ρkl\rho_{kl} between vega sensitivities within the same bucket (‘medium’ correlation scenario). 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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CSR Sec CTP 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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CSR Sec CTP 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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CSR Sec CTP Curvature Delta Sensitivities

This measure matches CSR Sec CTP Delta Sensitivities for trades and risk factors having curvature risk charges.

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CSR Sec CTP Curvature Delta Weighted Sensitivities

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

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CSR Sec CTP Curvature shock-up prices

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CSR Sec CTP Curvature shock-down prices

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CSR Sec CTP 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 CSR Sec CTP Curvature CVR Up can be replicated with these measures: CSR Sec CTP Curvature shock-up prices minus CSR Sec CTP Curvature Delta Weighted Sensitivities.

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CSR Sec CTP 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 CSR Sec CTP Curvature CVR Down can be replicated with these measures: CSR Sec CTP Curvature shock-down prices plus CSR Sec CTP Curvature Delta Weighted Sensitivities.

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CSR Sec CTP Curvature CVR

The measure CSR Sec CTP Curvature CVR can be replicated by selecting either the CSR Sec CTP Curvature CVR Up or CSR Sec CTP Curvature CVR Down. The selection is based on the scenario value of CSR Sec CTP Curvature Bucket Scenario.

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CSR Sec CTP 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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CSR Sec CTP 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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CSR Sec CTP Curvature Risk Position Scenario

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CSR Sec CTP Curvature Risk Position

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

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CSR Sec CTP Curvature Bucket Scenario

The measure CSR Sec CTP Curvature Bucket Scenario can be replicated. To do so, evaluate CSR Sec CTP Curvature Risk Position Scenario at the CSR Sec CTP Buckets level.

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CSR Sec CTP 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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CSR Sec CTP Curvature Risk Weight

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CSR Sec CTP 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 )}