GIRR Curvature Delta Weighted Sensitivities

sbm

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

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