Delta/Vega/Curvature risk weight
The
Delta/Vega/Curvature Risk Weight
measures are in MAR21.4(3) and
in MAR21.5(2)(e).
For Delta and Curvature, following MAR21.87, the risk weights are
looked up from the configuration. For specified currency pairs (and
first-order crosses), where the right-hand side of the pair is the base
or reporting currency, the risk weight may be divided by the square root
of 2 (as per MAR21.88).
For Vega, following MAR21.92, the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).