FRTB Accelerator Cube GuideCSR non-Sec 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].[CSR non-Sec Buckets].
See also
- CSR non-Sec Curvature CVR Up
- CSR non-Sec Curvature Delta Weighted Sensitivities
- CSR non-Sec Curvature shock-down prices
- CSR non-Sec Curvature Risk Position Scenario
- CSR non-Sec Curvature shock-up prices
- CSR non-Sec Curvature Sb
- CSR non-Sec Curvature Risk Position Down
- CSR non-Sec Curvature Risk Position Up
- CSR non-Sec Curvature Risk Position
- CSR non-Sec Curvature CVR Down
- CSR non-Sec Curvature Delta Sensitivities
- CSR non-Sec Curvature Risk Charge