FRTB Accelerator Cubes GuideEquity Curvature CVR Down
| 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 Equity Curvature CVR Down can be replicated with these measures: Equity Curvature shock-down prices plus Equity Curvature Delta Weighted Sensitivities.
See also
- Equity Curvature CVR Up
- Equity Curvature Delta Sensitivities
- Equity Curvature Delta Weighted Sensitivities
- Equity Curvature Risk Charge
- Equity Curvature Risk Position
- Equity Curvature Risk Position Down
- Equity Curvature Risk Position Scenario
- Equity Curvature Risk Position Up
- Equity Curvature Risk Weight
- Equity Curvature Sb
- Equity Curvature shock-down prices
- Equity Curvature shock-up prices