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FX Curvature Risk Position

sbm

Description	The bucket-level capital charge for FX curvature also known as risk position, under the 'Medium correlations' scenario
Variations	<incremental> <high> <euler_numerical> <low>
Reference	[MAR21.5]
Notation	$K_b MediumCorr$
Formula	$$K_b=max(K_b^{+},K_b^{-})$$

See also