Delta/Vega/Curvature risk weight
This page describes the Delta, Vega, and Curvature Risk Weight measures and how their values are looked up.
The
Delta/Vega/Curvature Risk Weight
measures are in and
in .
For Delta and Curvature, the values are looked up based on the configuration for the Risk Factor’s Bucket. This follows .
For Covered Bonds (bucket 8), when Covered Bond Rating is “high” an
alternative risk weight may be looked up instead.
For Vega, following , the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).