Navigation :
Equity Curvature Risk Charge
Description |
The equity curvature risk charge based on the 'Medium correlations' scenario |
Variations |
|
Reference |
[MAR21.5] |
Notation |
$Curvature risk$ |
Formula |
$$Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}$$ |
See also