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CSR non-Sec Curvature Risk Position Up
Description |
The bucket level capital requirement under the upward scenario |
Variations |
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Hierarchies required in the view |
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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