CSR Sec non-CTP Curvature Sb

sbm
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