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GIRR Curvature Delta Weighted Sensitivities
| Description |
The Delta effect which will be removed from curvature shocked scenario PL |
| Reference |
[MAR21.5] |
| Notation |
$WS_k$ |
| Formula |
$$RW_k^{(curvature)} \cdot s_{ik}$$ |
This measure matches GIRR Delta Sensitivities for trades and risk factors having curvature risk charges.
See also
FRTB Accelerator Cubes Guide