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FX Curvature Sb
| Description |
The net curvature risk requirement in a bucket |
| Variations |
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| Hierarchy(ies) required in the view: |
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| Reference |
[MAR21.5] |
| Notation |
$S_b$ |
| Formula |
$$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$ |
See also
FRTB Accelerator Cubes Guide