FRTB Accelerator Cube GuideEquity Curvature Sb
| Description | The net curvature risk requirement in a bucket |
|---|---|
| Variations |
|
| Reference | [MAR21.5] |
| Notation | $S_b$ |
| Formula | $$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$ |
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