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sbm
DescriptionThe sensitivities based risk charge, under Medium correlations scenario as if all positions are under SA
Variationsincremental, pro_rata, euler, netted, reported
Reference[MAR21.7]
Formula∑rc∈riskclassesRiskCharge_MediumCorrrc\displaystyle \sum_{rc \in risk classes} RiskCharge\_MediumCorr_{rc}
This measure is a simple sum of risk charges across risk classes/ sensitivity types for ‘Medium correlations’ scenario.