FRTB Accelerator Cube GuideCSR Sec non-CTP 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 Sec non-CTP Buckets].
See also
- CSR Sec non-CTP Curvature CVR Up
- CSR Sec non-CTP Curvature Delta Sensitivities
- CSR Sec non-CTP Curvature Risk Position Down
- CSR Sec non-CTP Curvature Risk Position Up
- CSR Sec non-CTP Curvature Risk Position Scenario
- CSR Sec non-CTP Curvature Delta Weighted Sensitivities
- CSR Sec non-CTP Curvature Risk Position
- CSR Sec non-CTP Curvature CVR Down
- CSR Sec non-CTP Curvature shock-down prices
- CSR Sec non-CTP Curvature Risk Weight
- CSR Sec non-CTP Curvature shock-up prices
- CSR Sec non-CTP Curvature Risk Charge