FRTB Accelerator Cube GuideCommodity Curvature Risk Weight
| Description | The risk weights applied in curvature calculations |
|---|---|
| Reference | [MAR21.5] |
| Notation | $RW_k^{(curvature)}$ |
The measure requires having hierarchy(ies) in the view: [Buckets].[Commodity Buckets].
See also
- Commodity Curvature CVR Up
- Commodity Curvature CVR Down
- Commodity Curvature Risk Position
- Commodity Curvature Risk Position Up
- Commodity Curvature Delta Weighted Sensitivities
- Commodity Curvature shock-up prices
- Commodity Curvature shock-down prices
- Commodity Curvature Risk Position Down
- Commodity Curvature Risk Charge
- Commodity Curvature Sb
- Commodity Curvature Delta Sensitivities
- Commodity Curvature Risk Position Scenario