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.
Delta FX Delta Sensitivities FX Delta Weighted Sensitivities Formula W S k = R W k ⋅ s k WS_k=RW_k \cdot s_k W S k = R W k ⋅ s k FX Delta Risk Weight FX Delta Risk Position Double Sums Formula ∑ k ∈ b ∑ l ∈ b ⋅ W S k ⋅ W S l \sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l ∑ k ∈ b ∑ l ∈ b ⋅ W S k ⋅ W S l FX Delta Risk Position Correlations Correlation parameter ρ k l \rho_{kl} ρ k l
FX Delta Risk Position Formula K b = m a x ( 0 , ∑ k ∈ b W S k 2 + ∑ k ∈ b ∑ l ∈ b , l ≠ k ρ k l ⋅ W S k ⋅ W S l ) 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)} K b = ma x ( 0 , ∑ k ∈ b W S k 2 + ∑ k ∈ b ∑ l ∈ b , l = k ρ k l ⋅ W S k ⋅ W S l ) FX Delta Risk Charge Formula K = ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c where S b = ∑ k W S k if ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ K b ⋅ K c > 0 else S b = m a x ( m i n ( ∑ k W S k , K b ) , − K b ) \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} K = b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ S b ⋅ S c where S b = k ∑ W S k if b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ K b ⋅ K c > 0 else S b = ma x ( min ( k ∑ W S k , K b ) , − K b ) Vega FX Vega Sensitivities FX Vega Weighted Sensitivities Formula W S k = R W k ⋅ s k WS_k=RW_k \cdot s_k W S k = R W k ⋅ s k FX Vega Risk Weight Formula R W k = min [ R W σ ⋅ L H r i s k c l a s s 10 ; 100 % ] RW_k = \min\left[RW_\sigma \cdot \frac{\sqrt{LH_{riskclass}}}{\sqrt{10}}; 100\%\right] R W k = min [ R W σ ⋅ 10 L H r i s k c l a ss ; 100% ] FX Vega Risk Position Double Sums Formula ∑ k ∈ b ∑ l ∈ b ⋅ W S k ⋅ W S l \sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l ∑ k ∈ b ∑ l ∈ b ⋅ W S k ⋅ W S l Sum of cross product of the weighted sensitivities under the square root in the bucket-level charge formula K b K_b K b
FX Vega Risk Position Correlations Formula ρ k l = m i n [ ρ k l D E L T A ⋅ ρ k l o p t i o n m a t u r i t y ; 1 ] \rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ] ρ k l = min [ ρ k l D E L T A ⋅ ρ k l o pt i o n ma t u r i t y ; 1 ] Correlation parameter ρ k l \rho_{kl} ρ k l
FX Vega Risk Position Formula K b = m a x ( 0 , ∑ k ∈ b W S k 2 + ∑ k ∈ b ∑ l ∈ b , l ≠ k ρ k l ⋅ W S k ⋅ W S l ) 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)} K b = ma x ( 0 , ∑ k ∈ b W S k 2 + ∑ k ∈ b ∑ l ∈ b , l = k ρ k l ⋅ W S k ⋅ W S l ) FX Vega Risk Charge Formula K = ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c where S b = ∑ k W S k if ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ K b ⋅ K c > 0 else S b = m a x ( m i n ( ∑ k W S k , K b ) , − K b ) \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} K = b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ S b ⋅ S c where S b = k ∑ W S k if b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ K b ⋅ K c > 0 else S b = ma x ( min ( k ∑ W S k , K b ) , − K b ) Curvature FX Curvature Delta Sensitivities This measure matches FX Delta Sensitivities for trades and risk factors having curvature risk charges.
FX Curvature Delta Weighted Sensitivities Formula R W k ( c u r v a t u r e ) ⋅ s i k RW_k^{(curvature)} \cdot s_{ik} R W k ( c u r v a t u re ) ⋅ s ik This measure matches FX Delta Sensitivities for trades and risk factors having curvature risk charges.
FX Curvature shock-up prices FX Curvature shock-down prices FX Curvature CVR Up Formula − ∑ i { V i ( x k ( R W ( c u r v a t u r e ) + ) ) − V i ( x k ) − R W k ( c u r v a t u r e ) ⋅ s i k ) } -\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \} − ∑ i { V i ( x k ( R W ( c u r v a t u re ) + ) ) − V i ( x k ) − R W k ( c u r v a t u re ) ⋅ s ik ) } The measure FX Curvature CVR Up can be replicated with these measures: FX Curvature shock-up prices minus FX Curvature Delta Weighted Sensitivities .
FX Curvature CVR Down Formula − ∑ i { V i ( x k ( R W ( c u r v a t u r e ) − ) ) − V i ( x k ) + R W k ( c u r v a t u r e ) ⋅ s i k ) } -\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \} − ∑ i { V i ( x k ( R W ( c u r v a t u re ) − ) ) − V i ( x k ) + R W k ( c u r v a t u re ) ⋅ s ik ) } The measure FX Curvature CVR Down can be replicated with these measures: FX Curvature shock-down prices plus FX Curvature Delta Weighted Sensitivities .
FX Curvature CVR The measure FX Curvature CVR can be replicated by selecting either the FX Curvature CVR Up or FX Curvature CVR Down based on the scenario value of FX Curvature Bucket Scenario
FX Curvature Risk Position Up Formula K b + = m a x ( 0 , ∑ k ∈ b m a x ( C V R k + , 0 ) 2 + ∑ k ∈ b ∑ l ∈ b , l ≠ k ρ k l ⋅ C V R k + ⋅ C V R l + ⋅ ψ ( C V R k + , C V R l + ) ) 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)} K b + = ma x ( 0 , ∑ k ∈ b ma x ( C V R k + , 0 ) 2 + ∑ k ∈ b ∑ l ∈ b , l = k ρ k l ⋅ C V R k + ⋅ C V R l + ⋅ ψ ( C V R k + , C V R l + ) ) FX Curvature Risk Position Down Formula K b − = m a x ( 0 , ∑ k ∈ b m a x ( C V R k − , 0 ) 2 + ∑ k ∈ b ∑ l ∈ b , l ≠ k ρ k l ⋅ C V R k − ⋅ C V R l − ⋅ ψ ( C V R k − , C V R l − ) ) 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)} K b − = ma x ( 0 , ∑ k ∈ b ma x ( C V R k − , 0 ) 2 + ∑ k ∈ b ∑ l ∈ b , l = k ρ k l ⋅ C V R k − ⋅ C V R l − ⋅ ψ ( C V R k − , C V R l − ) ) FX Curvature Risk Position Scenario FX Curvature Risk Position Formula K b = m a x ( K b + , K b − ) K_b=max(K_b^{+},K_b^{-}) K b = ma x ( K b + , K b − ) FX Curvature Bucket Scenario The measure FX Curvature Bucket Scenario can be replicated by evaluating FX Curvature Risk Position Scenario at the FX Buckets level.
FX Curvature Sb Formula S b = ∑ k C V R k + when scenario is upward, S b = ∑ k C V R k − when scenario is downward S_b = \sum_k CVR_k^{+}\text{ when scenario is upward, } S_b = \sum_k CVR_k^{-}\text{ when scenario is downward} S b = ∑ k C V R k + when scenario is upward, S b = ∑ k C V R k − when scenario is downward FX Curvature Risk Weight FX Curvature Risk Charge Formula C u r v a t u r e r i s k = m a x ( 0 , ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c ⋅ ψ ( S b , S c ) ) 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 )} C u r v a t u re r i s k = ma x ( 0 , ∑ b K b 2 + ∑ b ∑ c = b γ b c ⋅ S b ⋅ S c ⋅ ψ ( S b , S c ) ) 
