FRTB Accelerator Cube GuideCSR Sec CTP Curvature Delta Weighted Sensitivities
| Description | The delta effect which will be removed from the curvature shocked scenario PL |
|---|---|
| Reference | [MAR21.5] |
| Notation | $WS_k$ |
| Formula | $$RW_k^{(curvature)} \cdot s_{ik}$$ |
This measure matches CSR sec CTP Delta Sensitivities for trades and risk factors having curvature risk charges.
See also
- CSR Sec CTP Curvature shock-up prices
- CSR Sec CTP Curvature Risk Position Down
- CSR Sec CTP Curvature Risk Position Scenario
- CSR Sec CTP Curvature Risk Position
- CSR Sec CTP Curvature Delta Sensitivities
- CSR Sec CTP Curvature Risk Weight
- CSR Sec CTP Curvature Sb
- CSR Sec CTP Curvature shock-down prices
- CSR Sec CTP Curvature CVR Down
- CSR Sec CTP Curvature Risk Charge
- CSR Sec CTP Curvature CVR Up
- CSR Sec CTP Curvature Risk Position Up