FRTB Accelerator Reference Guide v2.4.0GIRR Curvature CVR Up
| Description | The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors |
|---|---|
| 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 GIRR Curvature CVR Up can be replicated with these measures: GIRR Curvature shock-up prices minus GIRR Curvature Delta Weighted Sensitivities.
See also
- GIRR Curvature CVR Down
- GIRR Curvature Delta Sensitivities
- GIRR Curvature Delta Weighted Sensitivities
- GIRR Curvature Risk Charge
- GIRR Curvature Risk Position
- GIRR Curvature Risk Position Down
- GIRR Curvature Risk Position Scenario
- GIRR Curvature Risk Position Up
- GIRR Curvature Risk Weight
- GIRR Curvature Sb
- GIRR Curvature shock-down prices
- GIRR Curvature shock-up prices