FRTB Accelerator Cube GuideCommodity Curvature Delta Weighted Sensitivities
| Description | The delta effect which will be removed from curvature shocked scenario PL |
|---|---|
| Reference | [MAR21.5] |
| Notation | $WS_k$ |
| Formula | $$RW_k^{(curvature)} \cdot s_{ik}$$ |
This measure matches Commodity Delta Sensitivities for trades and risk factors having curvature risk charges.
See also
- Commodity Curvature shock-down prices
- Commodity Curvature Risk Position
- Commodity Curvature CVR Up
- Commodity Curvature Risk Position Up
- Commodity Curvature Risk Charge
- Commodity Curvature Sb
- Commodity Curvature shock-up prices
- Commodity Curvature CVR Down
- Commodity Curvature Risk Position Down
- Commodity Curvature Delta Sensitivities
- Commodity Curvature Risk Position Scenario
- Commodity Curvature Risk Weight