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Commodity Curvature Delta Weighted Sensitivities
Description |
The delta effect which will be removed from curvature shocked scenario PL |
Reference |
[MAR21.5] |
Notation |
$WS_k$ |
Formula |
$$RW_k^{(curvature)} \cdot s_{ik}$$ |
This measure matches Commodity Delta Sensitivities for trades and risk factors having curvature risk charges.
See also