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CR_b_IR

Formula CRb=max(1,∣∑k,isk,i∣Tb)CR_b = max\left ( 1, \sqrt{\frac{|\sum_{k,i}s_{k,i}|}{T_b}} \right )

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CR_k_Commodity

Formula CRk=max(1,∣sk∣Tb)CR_k = max\left ( 1, \sqrt{\frac{|s_{k}|}{T_b}} \right )

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CR_k_CreditNonQ

Formula CRk=max(1,∣∑j sj∣Tb)CR_k = max\left ( 1, \sqrt{\frac{| \sum_{j} \ s_{j}| }{T_b}} \right )

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CR_k_CreditQ

Formula CRk=max(1,∣∑j sj∣Tb)CR_k = max\left ( 1, \sqrt{\frac{| \sum_{j} \ s_{j}| }{T_b}} \right )

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CR_k_Equity_Delta

Formula CRk=max(1,∣sk∣Tb)CR_k = max\left ( 1, \sqrt{\frac{|s_{k}|}{T_b}} \right )

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CR_k_FX

Formula CRk=max(1,∣sk∣Tb)CR_k = max\left ( 1, \sqrt{\frac{|s_{k}|}{T_b}} \right )

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VCR_b_IR

Formula VCRb=max(1,∣∑k,iVRk,i∣VTb)VCR_b = max\left ( 1, \sqrt{\frac{|\sum_{k,i}VR_{k,i}|}{VT_b}} \right )

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VCR_k_CommodityVol

Formula VCRk=max(1,∣∑iVRk,i∣VTb)VCR_k = max\left ( 1, \sqrt{\frac{|\sum_{i}VR_{k,i}|}{VT_b}} \right )

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VCR_k_CreditNonQ

Formula VCRk=max(1,∣∑ij VRij∣VTb)VCR_k = max\left ( 1, \sqrt{\frac{| \sum_{ij} \ VR_{ij}| }{VT_b}} \right )

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VCR_k_CreditVol

Formula VCRk=max(1,∣∑iVRk,i∣VTb)VCR_k = max\left ( 1, \sqrt{\frac{|\sum_{i}VR_{k,i}|}{VT_b}} \right )

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VCR_k_EquityVol

Formula VCRk=max(1,∣∑iVRk,i∣VTb)VCR_k = max\left ( 1, \sqrt{\frac{|\sum_{i}VR_{k,i}|}{VT_b}} \right )

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VCR_k_FXVol

Formula VCRk=max(1,∣∑iVRk,i∣VTb)VCR_k = max\left ( 1, \sqrt{\frac{|\sum_{i}VR_{k,i}|}{VT_b}} \right )