Equity Curvature Risk Position Up

sbm
Description The bucket level capital requirement under the upward scenario
Variations
Hierarchy(ies) required in the view
Reference [MAR21.5]
Notation $K_{b}^{+} $
Formula $$K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}$$

See also

search.js