FRTB Accelerator Cube GuideEquity Curvature CVR Up
| Description | The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors |
|---|---|
| Reference | [MAR21.5] |
| Formula | $$\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \}$$ |
The measure Equity Curvature CVR Up can be replicated with these measures: Equity Curvature shock-up prices minus Equity Curvature Delta Weighted Sensitivities.
See also
- Equity Curvature Risk Position
- Equity Curvature Risk Position Scenario
- Equity Curvature CVR Down
- Equity Curvature shock-up prices
- Equity Curvature Risk Position Up
- Equity Curvature Risk Charge
- Equity Curvature Delta Weighted Sensitivities
- Equity Curvature Risk Weight
- Equity Curvature shock-down prices
- Equity Curvature Sb
- Equity Curvature Delta Sensitivities
- Equity Curvature Risk Position Down