FRTB Accelerator Reference Guide v2.4.0CSR Sec non-CTP Curvature CVR Down
| Description | The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
|---|---|
| Reference | [MAR21.5] |
| Formula | $$-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \}$$ |
The measure CSR sec non-CTP Curvature CVR Down can be replicated with these measures: CSR sec non-CTP Curvature shock-down prices plus CSR sec non-CTP Curvature Delta Weighted Sensitivities.
See also
- CSR Sec non-CTP Curvature CVR Up
- CSR Sec non-CTP Curvature Delta Sensitivities
- CSR Sec non-CTP Curvature Delta Weighted Sensitivities
- CSR Sec non-CTP Curvature Risk Charge
- CSR Sec non-CTP Curvature Risk Position
- CSR Sec non-CTP Curvature Risk Position Down
- CSR Sec non-CTP Curvature Risk Position Scenario
- CSR Sec non-CTP Curvature Risk Position Up
- CSR Sec non-CTP Curvature Risk Weight
- CSR Sec non-CTP Curvature Sb
- CSR Sec non-CTP Curvature shock-down prices
- CSR Sec non-CTP Curvature shock-up prices