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Commodity Curvature Risk Position
| Description |
The bucket-level capital charge for commodity curvature also known as risk position, under the 'Medium correlations' scenario |
| Variations |
- <incremental>
- <high>
- <euler_numerical>
- <low>
|
| Reference |
[MAR21.5] |
| Notation |
$K_b MediumCorr$ |
| Formula |
$$K_b=max(K_b^{+},K_b^{-})$$ |
See also
FRTB Accelerator Cube Guide