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FX Curvature Sb

sbm
Description The net curvature risk requirement in a bucket
Variations
Hierarchy(ies) required in the view
Reference [MAR21.5]
Notation $S_b$
Formula $$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$

See also

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