CSR Sec CTP Curvature CVR Up

sbm
Description The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors
Reference [MAR21.5]
Formula $$-\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)+})} \right ) -V_i(x_k)-RW_k^{(curvature)}\cdot s_{ik})\right \}$$

The measure CSR sec CTP Curvature CVR Up can be replicated with these measures: CSR sec CTP Curvature shock-up prices minus CSR sec CTP Curvature Delta Weighted Sensitivities.

See also

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