Navigation : test ../ test about.html About test ../ test about/qis-quick-start_qisonly.html - Quick Start test ../ test input-files.html Input Data test ../ test tutorials.html Tutorials test ../ test tutorials/how-to-prepare-data-for-qis.html - How to Prepare Data for QIS test ../ test tutorials/data-sanity-check.html - Data Sanity Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test interpret-impl.html Interpretation and Implementation of the MAR standard test ../ test cube.html Analytics Reference test ../ test cube/measures.html - Measures test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/measures/standardisedapproach/girr/curvature.html ---- Curvature test ../ test cube/girr-curvature-cvr-down.html ----- GIRR Curvature CVR Down test ../ test cube/girr-curvature-cvr-up.html ----- GIRR Curvature CVR Up test ../ test cube/girr-curvature-risk-charge.html ----- GIRR Curvature Risk Charge test ../ test cube/girr-curvature-risk-position.html ----- GIRR Curvature Risk Position test ../ test cube/girr-curvature-risk-position-down.html ----- GIRR Curvature Risk Position Down test ../ test cube/girr-curvature-risk-position-scenario.html ----- GIRR Curvature Risk Position Scenario test ../ test cube/girr-curvature-risk-position-up.html ----- GIRR Curvature Risk Position Up test ../ test cube/girr-curvature-risk-weight.html ----- GIRR Curvature Risk Weight test ../ test cube/girr-curvature-shock-down-prices.html ----- GIRR Curvature shock-down prices test ../ test cube/girr-curvature-shock-up-prices.html ----- GIRR Curvature shock-up prices test ../ test cube/measures/standardisedapproach/girr/delta.html ---- Delta test ../ test cube/measures/standardisedapproach/girr/vega.html ---- Vega test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/dimensions.html - Dimensions test ../ test glossary.html Glossary GIRR Curvature Risk Charge sbm Description The GIRR curvature risk charge based on the ‘Medium correlations’ scenario Reference [MAR21.5] Notation Curvaturerisk Formula Curvature risk=√max(0,∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc)) See also GIRR Curvature CVR Down GIRR Curvature CVR Up GIRR Curvature Risk Position GIRR Curvature Risk Position Down GIRR Curvature Risk Position Scenario GIRR Curvature Risk Position Up GIRR Curvature Risk Weight GIRR Curvature shock-down prices GIRR Curvature shock-up prices GIRR Curvature CVR Up GIRR Curvature Risk Position