Skip to main content
The Delta/Vega/Curvature Risk Weight measures are RWkRW_k in MAR21.4(3) and RWk(Curvature)RW_k^{(Curvature)} in MAR21.5(2)(e). For Delta and Curvature, following MAR21.59, the values are looked up based on the configuration for the Risk Factor’s Bucket. For Vega, following MAR21.92, the value is looked up based on the configuration for the Risk Class (and its liquidity horizon).