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Commodity Curvature CVR Up

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Description The valuation impact of the upward scenario for curvature risk factors with delta effect removed
Reference [MAR21.5]
Formula i{Vi(x(RW(curvature)+)k)Vi(xk)RW(curvature)ksik)}

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

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