FRTB Accelerator Cube GuideCommodity Curvature CVR Up
| Description | The valuation impact of the upward scenario for curvature risk factors with delta effect removed |
|---|---|
| Reference | [MAR21.5] |
| Formula | $$\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \}$$ |
The measure Commodity Curvature CVR Up can be replicated with these measures: Commodity Curvature shock-up prices minus Commodity Curvature Delta Weighted Sensitivities.
See also
- Commodity Curvature Risk Charge
- Commodity Curvature Risk Position Down
- Commodity Curvature Delta Weighted Sensitivities
- Commodity Curvature shock-down prices
- Commodity Curvature Delta Sensitivities
- Commodity Curvature CVR Down
- Commodity Curvature Risk Position Up
- Commodity Curvature Risk Position
- Commodity Curvature Risk Position Scenario
- Commodity Curvature Sb
- Commodity Curvature Risk Weight
- Commodity Curvature shock-up prices