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Commodity Curvature Risk Position
Description |
The bucket-level capital charge for commodity curvature also known as risk position, under the ‘Medium correlations’ scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.5] |
Notation |
$K_b MediumCorr$ |
Formula |
$$K_b=max(K_b^{+},K_b^{-})$$ |
See also