The Delta/Vega/Curvature Risk Weight measures are in MAR21.4(3) and in MAR21.5(2)(e). For Delta and Curvature, following MAR21.77, the values are looked up based on the configuration for the Risk Factor’s Bucket and Type. For Vega, following MAR21.92, the value is looked up based on the configuration for the Risk Class (and its liquidity horizon).Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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