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