FRTB Accelerator Cube GuideCSR non-Sec Curvature Sb
| Description | The net curvature risk requirement in a bucket |
|---|---|
| Variations |
|
| Reference | [MAR21.5] |
| Notation | Sb |
| Formula | Sb=∑kCVR+kwhen scenario is upward, Sb=∑kCVR−kwhen 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