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