CSR Sec non-CTP Vega Risk Charge
The CSR Sec non-CTP vega risk charge based on the ‘Medium correlations’ scenario
CSR Sec non-CTP Vega Risk Position Correlations
The correlation parameter between vega sensitivities within the same bucket, under the ‘Medium correlations’ scenario
CSR Sec non-CTP 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 Sec non-CTP Vega Risk Position
The bucket-level capital charge for CSR Sec non-CTP vega, also known as risk position, under the ‘Medium correlations’ scenario
CSR Sec non-CTP Vega Risk Weight
The CSR Sec non-CTP vega risk weights
CSR Sec non-CTP Vega Sensitivities
The CSR Sec non-CTP vega
CSR Sec non-CTP Vega Weighted Sensitivities
The weighted CSR Sec non-CTP vega