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GIRR Curvature Risk Charge

sbm
Description The GIRR curvature risk charge based on the ‘Medium correlations’ scenario
Variations
Reference [MAR21.5]
Notation $Curvature risk$
Formula $$Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}$$

See also