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 ---- Curvature ----- CSR non-Sec Curvature CVR Down ----- CSR non-Sec Curvature CVR Up ----- CSR non-Sec Curvature Delta Sensitivities ----- CSR non-Sec Curvature Delta Weighted Sensitivities ----- CSR non-Sec Curvature Risk Charge ----- CSR non-Sec Curvature Risk Position ----- CSR non-Sec Curvature Risk Position Down ----- CSR non-Sec Curvature Risk Position Scenario ----- CSR non-Sec Curvature Risk Position Up ----- CSR non-Sec Curvature Risk Weight ----- CSR non-Sec Curvature Sb ----- CSR non-Sec Curvature shock-down prices ----- CSR non-Sec Curvature shock-up prices ----- CSR non-Sec Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- CSR Sec CTP --- 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 non-Sec Curvature shock-up prices sbm Description The valuation impact of the upward scenario Reference [MAR21.5] Notation $V_i \left (x_k^{(RW^{(curvature)}+)} \right )- V_i(x_k)$ See also CSR non-Sec Curvature CVR Down CSR non-Sec Curvature CVR Up CSR non-Sec Curvature Delta Sensitivities CSR non-Sec Curvature Delta Weighted Sensitivities CSR non-Sec Curvature Risk Charge CSR non-Sec Curvature Risk Position CSR non-Sec Curvature Risk Position Down CSR non-Sec Curvature Risk Position Scenario CSR non-Sec Curvature Risk Position Up CSR non-Sec Curvature Risk Weight CSR non-Sec Curvature Sb CSR non-Sec Curvature shock-down prices CSR non-Sec Curvature shock-down prices CSR non-Sec Curvature Technical Curvature Delta Shift
FRTB Accelerator Reference Guide v3.0.0