Risk class level margin


Description	Commodity margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}


Description	Credit Non-Qualifying margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}


Description	Credit Qualifying margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}


Description	Equity margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}


Description	Foreign exchange rate margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}


Description	Interest rate margin across sensitivity types. Regulation hierarchy is required.
Notation	$IM_{RiskClass}$

Formula

IM_{RiskClass} = DeltaMargin_{RiskClass} + VegaMargin_{RiskClass}+ CurvatureMargin_{RiskClass}+ BaseCorrMargin_{RiskClass}