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 | $$\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \}$$ |
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