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Commodity Curvature Risk Charge
| Description |
The commodity curvature risk charge based on the 'Medium correlations' scenario |
| Variations |
|
| Reference |
[MAR21.5] |
| Notation |
$Curvature risk$ |
| Formula |
$$Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}$$ |
See also
FRTB Accelerator Cubes Guide