FRTB Accelerator Cube GuideEquity 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].[Equity Buckets].
See also
- Equity Curvature Delta Sensitivities
- Equity Curvature Risk Position Scenario
- Equity Curvature Risk Weight
- Equity Curvature CVR Up
- Equity Curvature Risk Charge
- Equity Curvature shock-up prices
- Equity Curvature Risk Position
- Equity Curvature shock-down prices
- Equity Curvature Delta Weighted Sensitivities
- Equity Curvature Risk Position Up
- Equity Curvature Risk Position Down
- Equity Curvature CVR Down