FRTB Accelerator Cube GuideEquity Curvature CVR Down
| 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 Equity Curvature CVR Down can be replicated with these measures: Equity Curvature shock-down prices plus Equity Curvature Delta Weighted Sensitivities.
See also
- Equity Curvature Risk Position Up
- Equity Curvature shock-up prices
- Equity Curvature CVR Up
- Equity Curvature Risk Charge
- Equity Curvature Delta Sensitivities
- Equity Curvature Risk Position Down
- Equity Curvature Delta Weighted Sensitivities
- Equity Curvature Risk Position
- Equity Curvature Risk Weight
- Equity Curvature shock-down prices
- Equity Curvature Sb
- Equity Curvature Risk Position Scenario