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 --- GIRR ---- Curvature ----- GIRR Curvature CVR Down ----- GIRR Curvature CVR Up ----- GIRR Curvature Delta Sensitivities ----- GIRR Curvature Delta Weighted Sensitivities ----- GIRR Curvature Risk Charge ----- GIRR Curvature Risk Position ----- GIRR Curvature Risk Position Down ----- GIRR Curvature Risk Position Scenario ----- GIRR Curvature Risk Position Up ----- GIRR Curvature Risk Weight ----- GIRR Curvature Sb ----- GIRR Curvature shock-down prices ----- GIRR Curvature shock-up prices ----- GIRR Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- 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 GIRR Curvature shock-down prices sbm Description The valuation impact of the downward scenario Reference [MAR21.5] Notation $V_i \left (x_k^{(RW^{(curvature)}-)} \right ) - V_i(x_k)$ See also GIRR Curvature CVR Down GIRR Curvature CVR Up GIRR Curvature Delta Sensitivities GIRR Curvature Delta Weighted Sensitivities GIRR Curvature Risk Charge GIRR Curvature Risk Position GIRR Curvature Risk Position Down GIRR Curvature Risk Position Scenario GIRR Curvature Risk Position Up GIRR Curvature Risk Weight GIRR Curvature Sb GIRR Curvature shock-up prices GIRR Curvature Sb GIRR Curvature shock-up prices
FRTB Accelerator Cubes Guide