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CSR non-Sec Curvature CVR Down
Description |
The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
Reference |
[MAR21.5] |
Formula |
−∑i{Vi(x(RW(curvature)−)k)−Vi(xk)+RW(curvature)k⋅sik)} |
The measure CSR non-Sec Curvature CVR Down can be replicated with these measures: CSR non-Sec Curvature shock-down prices plus CSR non-Sec Curvature Delta Weighted Sensitivities.
See also