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FX Curvature Risk Position Up
| Description |
The bucket level capital requirement under the upward scenario |
| Variations |
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| Hierarchies required in the view |
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| Reference |
[MAR21.5] |
| Notation |
$K_{b}^{+} $ |
| Formula |
$$K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}$$ |
See also