CSR non-Sec Curvature Risk Position

sbm

Description The Bucket-level capital charge for CSR non-Sec curvature also known as risk position, under the 'Medium correlations' scenario
Variations
  • <incremental>
  • <high>
  • <euler_numerical>
  • <low>
Reference [MAR21.5]
Notation $K_b MediumCorr$
Formula $$K_b=max(K_b^{+},K_b^{-})$$

See also

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