- Delta and Vega Sensitivities Using Finite Shifts
Default Risk Charge
Residual Risk Add-On
Risk Weights and Correlations for GIRR
Risk Weights and Correlations for FX
Regulatory and internal model validation services from CompatibL
- For each bucket, the aggregate weighted sensitivity
is calculated according to the formula:
where is the weighted sensitivity for risk factor , and is the correlation factor between and .
- The weighted sensitivity
is calculated as:
where is the risk weight for factor and is the net sensitivity of factor .