FX Curvature Sb

sbm

Description The net curvature risk requirement in a bucket
Variations
  • <high>
  • <low>
Reference [MAR21.5]
Notation $S_b$
Formula $$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$

The measure requires having hierarchy(ies) in the view: [Buckets].[FX Buckets].

See also

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