GIRR Curvature Risk Position

sbm
Description The bucket-level capital charge for GIRR curvature also known as risk position, under the ‘Medium correlations’ scenario
Variations
Hierarchies required in the view
Reference [MAR21.5]
Notation $K_b MediumCorr$
Formula $$K_b=max(K_b^{+},K_b^{-})$$

See also