Commodity Curvature CVR Down

sbm

Description The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference [MAR21.5]
Formula $$-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \}$$

The measure Commodity Curvature CVR Down can be replicated with these measures: Commodity Curvature shock-down prices plus Commodity Curvature Delta Weighted Sensitivities.

See also

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