FRTB Accelerator Cube GuideCSR Sec non-CTP Curvature CVR Up
| Description | The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
|---|---|
| Reference | [MAR21.5] |
| Formula | ∑i{Vi(x(RW(curvature)+)k)−Vi(xk)−RW(curvature)k⋅sik)} |
The measure CSR sec non-CTP Curvature CVR Up can be replicated with these measures: CSR sec non-CTP Curvature shock-up prices minus CSR sec non-CTP Curvature Delta Weighted Sensitivities.
See also
- CSR Sec non-CTP Curvature Sb
- CSR Sec non-CTP Curvature Risk Weight
- CSR Sec non-CTP Curvature Delta Sensitivities
- CSR Sec non-CTP Curvature Risk Position
- CSR Sec non-CTP Curvature Risk Position Up
- CSR Sec non-CTP Curvature Delta Weighted Sensitivities
- CSR Sec non-CTP Curvature CVR Down
- CSR Sec non-CTP Curvature shock-up prices
- CSR Sec non-CTP Curvature shock-down prices
- CSR Sec non-CTP Curvature Risk Charge
- CSR Sec non-CTP Curvature Risk Position Scenario
- CSR Sec non-CTP Curvature Risk Position Down