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Commodity Curvature Sb

sbm

Description	Net curvature risk requirement in a bucket
Variations	<high> <low>
Reference	[MAR21.5]
Notation	$S_b$
Formula	$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward}$

The measure requires having hierarchy(ies) in the view: [Buckets].[Commodity Buckets].

See also