FRTB Accelerator Cube GuideGIRR Curvature Sb
| Description | The net curvature risk requirement in a bucket |
|---|---|
| Variations |
|
| 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].[GIRR Buckets].
See also
- GIRR Curvature Risk Charge
- GIRR Curvature Risk Position
- GIRR Curvature Risk Weight
- GIRR Curvature Risk Position Up
- GIRR Curvature Risk Position Down
- GIRR Curvature shock-up prices
- GIRR Curvature Delta Weighted Sensitivities
- GIRR Curvature Delta Sensitivities
- GIRR Curvature shock-down prices
- GIRR Curvature CVR Down
- GIRR Curvature CVR Up
- GIRR Curvature Risk Position Scenario