Navigation :
Commodity Curvature Risk Position Down
| Description |
The bucket level capital requirement under the downward scenario |
| Variations |
|
| Reference |
[MAR21.5] |
| Notation |
$K_b^{-}$ |
| Formula |
$$K_{b}^{-} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{-},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{-} \cdot CVR_l^{-} \cdot \psi(CVR_k^{-},CVR_l^{-})\right)}$$ |
See also
FRTB Accelerator Cube Guide