CSR Sec CTP Curvature CVR Down

sbm
Description The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference [MAR21.5]
Formula i{Vi(xk(RW(curvature)))Vi(xk)+RWk(curvature)sik)}

The measure CSR sec CTP Curvature CVR Down can be replicated with these measures: CSR sec CTP Curvature shock-down prices plus CSR sec CTP Curvature Delta Weighted Sensitivities.

See also