FRTB Accelerator Cube GuideCommodity Curvature Sb
| Description | Net curvature risk requirement in a bucket |
|---|---|
| Variations |
|
| 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
- Commodity Curvature Risk Position Down
- Commodity Curvature Risk Position Up
- Commodity Curvature CVR Up
- Commodity Curvature Risk Charge
- Commodity Curvature shock-down prices
- Commodity Curvature Risk Weight
- Commodity Curvature CVR Down
- Commodity Curvature shock-up prices
- Commodity Curvature Delta Weighted Sensitivities
- Commodity Curvature Risk Position Scenario
- Commodity Curvature Delta Sensitivities
- Commodity Curvature Risk Position