Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test tutorials.html Tutorials test ../ test tutorials/data-health-check.html - Data Health Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html - Workaround for deadlock issue when attempting to create partitions for reference stores test ../ test what-if.html What-If Analysis test ../ test configuration.html Configuration files test ../ test cube.html Data Cubes test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/count.html --- Count test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-non-sec/curvature.html ---- Curvature test ../ test cube/csr-non-sec-curvature-cvr-down.html ----- CSR non-Sec Curvature CVR Down test ../ test cube/csr-non-sec-curvature-cvr-up.html ----- CSR non-Sec Curvature CVR Up test ../ test cube/csr-non-sec-curvature-delta-sensitivities.html ----- CSR non-Sec Curvature Delta Sensitivities test ../ test cube/csr-non-sec-curvature-delta-weighted-sensitivities.html ----- CSR non-Sec Curvature Delta Weighted Sensitivities test ../ test cube/csr-non-sec-curvature-risk-charge.html ----- CSR non-Sec Curvature Risk Charge test ../ test cube/csr-non-sec-curvature-risk-position.html ----- CSR non-Sec Curvature Risk Position test ../ test cube/csr-non-sec-curvature-risk-position-down.html ----- CSR non-Sec Curvature Risk Position Down test ../ test cube/csr-non-sec-curvature-risk-position-scenario.html ----- CSR non-Sec Curvature Risk Position Scenario test ../ test cube/csr-non-sec-curvature-risk-position-up.html ----- CSR non-Sec Curvature Risk Position Up test ../ test cube/csr-non-sec-curvature-risk-weight.html ----- CSR non-Sec Curvature Risk Weight test ../ test cube/csr-non-sec-curvature-sb.html ----- CSR non-Sec Curvature Sb test ../ test cube/csr-non-sec-curvature-shock-down-prices.html ----- CSR non-Sec Curvature shock-down prices test ../ test cube/csr-non-sec-curvature-shock-up-prices.html ----- CSR non-Sec Curvature shock-up prices test ../ test cube/measures/standardisedapproach/csr-non-sec/delta.html ---- Delta test ../ test cube/measures/standardisedapproach/csr-non-sec/vega.html ---- Vega test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/notional.html --- Notional test ../ test cube/notional-original-currency.html --- Notional (Original Currency) test ../ test cube/notional-original-currency-drc.html --- Notional (Original Currency) DRC test ../ test cube/notional-drc.html --- Notional DRC test ../ test cube/pv.html --- PV test ../ test cube/pv-drc.html --- PV DRC test ../ test cube/pv.ccy.html --- PV.CCY test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/timestamp.html --- Timestamp test ../ test cube/dimensions.html - Dimensions test ../ test datastore.html Data Stores test ../ test input-files.html Input File Formats test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test interpret-impl.html FRTB Accelerator Interpretation and Implementation of BCBS 457 test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary CSR non-Sec Curvature Delta Weighted Sensitivities sbm Description The delta effect which will be removed from curvature shocked scenario PL Reference [MAR21.5] Notation $WS_k$ Formula $$RW_k^{(curvature)} \cdot s_{ik}$$ See also CSR non-Sec Curvature CVR Down CSR non-Sec Curvature CVR Up CSR non-Sec Curvature Delta 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 Delta Sensitivities CSR non-Sec Curvature Risk Charge