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FX Curvature CVR Down
| Description |
The valuation impact of the downward scenario for curvature risk factors with delta effect removed |
| 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 FX Curvature CVR Down can be replicated with these measures: FX Curvature shock-down prices plus FX Curvature Delta Weighted Sensitivities.
See also