FRTB Accelerator Cube GuideGIRR Curvature CVR Down
| Description | The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
|---|---|
| Reference | [MAR21.5] |
| Formula | ∑i{Vi(x(RW(curvature)−)k)−Vi(xk)+RW(curvature)k⋅sik)} |
The measure GIRR Curvature CVR Down can be replicated with these measures: GIRR Curvature shock-down prices plus GIRR Curvature Delta Weighted Sensitivities.
See also
- GIRR Curvature Risk Position Scenario
- GIRR Curvature Sb
- GIRR Curvature Risk Position Up
- GIRR Curvature Risk Weight
- GIRR Curvature Risk Charge
- GIRR Curvature Risk Position
- GIRR Curvature Delta Weighted Sensitivities
- GIRR Curvature Delta Sensitivities
- GIRR Curvature shock-down prices
- GIRR Curvature Risk Position Down
- GIRR Curvature shock-up prices
- GIRR Curvature CVR Up