FRTB Accelerator Cube GuideCSR non-Sec Curvature Sb
| Description | The net curvature risk requirement in a bucket |
|---|---|
| Variations |
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| 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].[CSR non-Sec Buckets].
See also
- CSR non-Sec Curvature Risk Position
- CSR non-Sec Curvature CVR Up
- CSR non-Sec Curvature Risk Position Scenario
- CSR non-Sec Curvature Risk Position Up
- CSR non-Sec Curvature shock-up prices
- CSR non-Sec Curvature Risk Position Down
- CSR non-Sec Curvature Delta Weighted Sensitivities
- CSR non-Sec Curvature Risk Weight
- CSR non-Sec Curvature Risk Charge
- CSR non-Sec Curvature shock-down prices
- CSR non-Sec Curvature Delta Sensitivities
- CSR non-Sec Curvature CVR Down