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Documentation Index

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sbm
DescriptionThe sensitivities based risk charge, as if all positions are under SA
Variationsincremental, pro_rata, euler, netted, reported
Reference[MAR21.7]
The measure computes worst of the three correlations scenarios and returns either High Risk Charge, Low Risk Charge or Medium Risk Charge. If the Correlation Scenario hierarchy is used, you can fix the scenario to High, Low, Medium or reference.