• For delta and vega risk, $MRC{C}_a$ is calculated according to the formula:

  $$MRC{C}_a=\sqrt{\sum _{b=1}^n{K}_b^2+\sum _{b=1}^n\sum _{b\ne c}^n{\gamma }_{bc}{S}_b^{}{S}_c^{}}$$

  $$S_b=\sum _k^{}W{S}_k$$

  where $K_b$ is the aggregate weighted sensitivity for bucket $b$, $S_b$ is the sum of risk weights for bucket $b$ and ${\gamma }_{bc}$ is the correlation factor between $S_b$ and $S_c$.

Excel

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