Navigation :
CSR non-Sec Curvature Sb
| Description |
The net curvature risk requirement in a bucket |
| Variations |
|
| Hierarchies required in the view |
|
| Reference |
[MAR21.5] |
| Notation |
$S_b$ |
| Formula |
$$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$ |
See also