Delta/Vega/Curvature risk weight
The
Delta/Vega/Curvature Risk Weight
measures are in and
in .
For Delta and Curvature, following —, the values are
looked up based on the configuration for the Curve Type and Tenor.
For specified currencies, these risk weights may be
divided by the square root of 2.
For Vega, following , the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).