FRTB Accelerator Cube GuideGIRR Curvature Delta Weighted Sensitivities
| Description | The Delta effect which will be removed from curvature shocked scenario PL |
|---|---|
| Reference | [MAR21.5] |
| Notation | $WS_k$ |
| Formula | $$RW_k^{(curvature)} \cdot s_{ik}$$ |
This measure matches GIRR Delta Sensitivities for trades and risk factors having curvature risk charges.
See also
- GIRR Curvature Risk Charge
- GIRR Curvature CVR Down
- GIRR Curvature Risk Position Scenario
- GIRR Curvature Risk Weight
- GIRR Curvature shock-down prices
- GIRR Curvature CVR Up
- GIRR Curvature Sb
- GIRR Curvature Risk Position Down
- GIRR Curvature shock-up prices
- GIRR Curvature Risk Position
- GIRR Curvature Delta Sensitivities
- GIRR Curvature Risk Position Up