Sensitivities

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CVR_k_Risk_CommodityVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_k_Risk_EquityVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_Risk_CreditVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_Risk_CreditVolNonQ

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_Risk_FXVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_Risk_InflationVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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CVR_Risk_IRVol

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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Risk_BaseCorr

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Risk_Commodity

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Risk_CommodityVol

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Risk_CreditNonQ

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Risk_CreditQ

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Risk_CreditVol

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Risk_CreditVolNonQ

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Risk_Equity

Formula $CVR_{i,k} = \sum_{j} SF(t_{kj})\cdot \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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Risk_EquityVol

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Risk_FX

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Risk_FXVol

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Risk_Generic

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Risk_Inflation

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Risk_InflationVol

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Risk_IRCurve

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Risk_IRVol

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Risk_XCcyBasis

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VR_ik_Commodity

Formula $VR_{i,k} = HVR_{RiskClass}\cdot \sum_{j} \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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VR_ik_Equity

Formula $VR_{i,k} = HVR_{RiskClass}\cdot \sum_{j} \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$

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VR_ik_FX

Formula $VR_{i,k} = HVR_{RiskClass}\cdot \sum_{j} \sigma_{kj} \cdot \frac{\partial V_i}{\partial \sigma}$