Delta/Vega/Curvature risk weight
The
Delta/Vega/Curvature Risk Weight
measures are in and
in .
For Delta and Curvature, following , 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 ).
For Vega, following , the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).