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CSR non-Sec Curvature Risk Position

sbm

Description The Bucket-level capital charge for CSR non-Sec curvature also known as risk position, under the 'Medium correlations' scenario
Variations
Hierarchy(ies) required in the view:
Reference [MAR21.5]
Notation KbMediumCorr
Formula Kb=max(K+b,Kb)

See also

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