Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP ---- Curvature ----- CSR Sec CTP Curvature CVR Down ----- CSR Sec CTP Curvature CVR Up ----- CSR Sec CTP Curvature Delta Sensitivities ----- CSR Sec CTP Curvature Delta Weighted Sensitivities ----- CSR Sec CTP Curvature Risk Charge ----- CSR Sec CTP Curvature Risk Position ----- CSR Sec CTP Curvature Risk Position Down ----- CSR Sec CTP Curvature Risk Position Scenario ----- CSR Sec CTP Curvature Risk Position Up ----- CSR Sec CTP Curvature Risk Weight ----- CSR Sec CTP Curvature Sb ----- CSR Sec CTP Curvature shock-down prices ----- CSR Sec CTP Curvature shock-up prices ----- CSR Sec CTP Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- CSR Sec non-CTP --- DRC --- Equity --- FX --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 CSR Sec CTP Curvature Risk Weight sbm Description The risk weights applied in curvature calculations Hierarchy(ies) required in the view [Buckets].[CSR Sec CTP Buckets] Reference [MAR21.5] Notation $RW_k^{(curvature)}$ See also CSR Sec CTP Curvature CVR Down CSR Sec CTP Curvature CVR Up CSR Sec CTP Curvature Delta Sensitivities CSR Sec CTP Curvature Delta Weighted Sensitivities CSR Sec CTP Curvature Risk Charge CSR Sec CTP Curvature Risk Position CSR Sec CTP Curvature Risk Position Down CSR Sec CTP Curvature Risk Position Scenario CSR Sec CTP Curvature Risk Position Up CSR Sec CTP Curvature Sb CSR Sec CTP Curvature shock-down prices CSR Sec CTP Curvature shock-up prices CSR Sec CTP Curvature Risk Position Up CSR Sec CTP Curvature Sb
FRTB Accelerator Reference Guide v2.4.0