Commodity Curvature Risk Position

sbm
Description The bucket-level capital charge for commodity curvature also known as risk position, under the 'Medium correlations' scenario
Variations
Hierarchy(ies) required in the view
Reference [MAR21.5]
Notation $K_b MediumCorr$
Formula $$K_b=max(K_b^{+},K_b^{-})$$

See also

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