Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP --- CSR Sec non-CTP --- DRC --- Equity --- FX ---- Curvature ----- FX Curvature CVR Down ----- 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 ----- FX Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 FX Curvature Risk Charge sbm Description The FX curvature risk charge based on the 'Medium correlations' scenario Variations incremental euler_numerical high pro_rata low Reference [MAR21.5] Notation Curvaturerisk Formula Curvature risk=√max(0,∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc)) See also FX Curvature CVR Down FX Curvature CVR Up FX Curvature Delta Sensitivities FX Curvature Delta Weighted Sensitivities 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 FX Curvature Delta Weighted Sensitivities FX Curvature Risk Position
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