FRTB Accelerator Cube GuideFX 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 | ∑i{Vi(x(RW(curvature)+)k)−Vi(xk)−RW(curvature)k⋅sik)} |
The measure FX Curvature CVR Up can be replicated with these measures: FX Curvature shock-up prices minus FX Curvature Delta Weighted Sensitivities.
See also
- FX Curvature Delta Weighted Sensitivities
- FX Curvature shock-down prices
- FX Curvature Risk Position Down
- FX Curvature CVR Down
- FX Curvature Risk Charge
- FX Curvature Risk Weight
- FX Curvature Sb
- FX Curvature Risk Position
- FX Curvature shock-up prices
- FX Curvature Risk Position Scenario
- FX Curvature Delta Sensitivities
- FX Curvature Risk Position Up