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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 non-CTP Delta Sensitivities

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CSR Sec non-CTP Delta Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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CSR Sec non-CTP Delta Risk Weight

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CSR Sec non-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 non-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 non-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 non-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 non-CTP Vega Sensitivities

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CSR Sec non-CTP Vega Weighted Sensitivities

Formula WSk=RWk⋅skWS_k=RW_k \cdot s_k

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CSR Sec non-CTP 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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CSR Sec non-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 product of the weighted sensitivities under the square root in the bucket-level charge formula KbK_b.

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

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CSR Sec non-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 non-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 non-CTP Curvature Delta Sensitivities

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

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CSR Sec non-CTP Curvature Delta Weighted Sensitivities

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

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CSR Sec non-CTP Curvature shock-up prices

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CSR Sec non-CTP Curvature shock-down prices

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

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

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CSR Sec non-CTP Curvature CVR

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

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CSR Sec non-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 non-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 non-CTP Curvature Risk Position Scenario

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CSR Sec non-CTP Curvature Risk Position

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

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CSR Sec non-CTP Curvature Bucket Scenario

The measure CSR Sec non-CTP Curvature Bucket Scenario can be replicated as follows. Evaluate CSR Sec non-CTP Curvature Risk Position Scenario at the CSR Sec non-CTP Buckets level.

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CSR Sec non-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 non-CTP Curvature Risk Weight

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CSR Sec non-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 )}