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