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GIRR Curvature Risk Position Down

sbm

Description	The bucket level capital requirement under the downward scenario
Variations	<high> <low>
Reference	[MAR21.5]
Notation	$K_b^{-}$
Formula	$K_{b}^{-} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{-},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{-} \cdot CVR_l^{-} \cdot \psi(CVR_k^{-},CVR_l^{-})\right)}$

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