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FX Curvature Risk Position Up

sbm

Description	The bucket level capital requirement under the upward scenario
Variations	high-low
Hierarchy(ies) required in the view	[Buckets].[FX Buckets]
Reference	[MAR21.5]
Notation	$K_{b}^{+} $
Formula	$$K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}$$

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