Curvature Risk Charge

The Curvature Risk Charge measure is $\text{Curvature risk}$ in [MAR21.5](4).

It is calculated by combining the Curvature Risk Positions (and aggregated CVR Up or CVR Down values) over all Buckets according to [MAR21.5](4) and [MAR21.71].

See Interpretation Note for discussion of different interpretations of [MAR21.71].