Navigation :

FX Curvature Risk Charge

sbm

Description	The FX curvature risk charge based on the 'Medium correlations' scenario
Variations	<incremental> <euler_numerical> <high> <pro_rata> <low>
Reference	[MAR21.5]
Notation	$Curvature risk$
Formula	$Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}$

See also