Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP -- Equity --- Interpretation Note --- Data Model (Core) --- Calculations ---- ETL (Reference Implementation) ---- Query Time (Core) ----- Delta/Vega Sensitivities ----- Curvature Scenario Up/Down PV.CCY ----- Delta/Vega/Curvature Risk Weight ----- Delta/Vega Weighted Sensitivities ----- Curvature Delta Sensitivities ----- Curvature Shock Up/Down Prices ----- Curvature CVR Up/Down ----- Delta/Vega Risk Position Double Sums ----- Delta/Vega Risk Position Correlations ----- Delta Vega Risk Position ----- Curvature Risk Position Up/Down ----- Curvature Risk Position Scenario ----- Curvature Risk Position ----- Delta/Vega Risk Charge ----- Curvature Risk Charge --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) --- Cube (Reference Implementation) --- Configuration (Core) -- FX -- GIRR Curvature Risk Position The Curvature Risk Position measure is $K_b$ in [MAR21.5](3). Within each Bucket, it is the greater of the Curvature Risk Position Up and Curvature Risk Position Down values. Curvature Risk Position Scenario Delta/Vega Risk Charge