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FX Curvature CVR Up
| Description |
The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors |
| Reference |
[MAR21.5] |
| Formula |
$$-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \}$$ |
The measure FX Curvature CVR Up can be replicated with these measures: FX Curvature shock-up prices minus FX Curvature Delta Weighted Sensitivities.
See also