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Commodity Curvature CVR Down
| Description |
The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
| Reference |
[MAR21.5] |
| Formula |
−∑i{Vi(x(RW(curvature)−)k)−Vi(xk)+RW(curvature)k⋅sik)} |
The measure Commodity Curvature CVR Down can be replicated with these measures: Commodity Curvature shock-down prices plus Commodity Curvature Delta Weighted Sensitivities.
See also