CSR Sec CTP Curvature Delta Weighted Sensitivities

sbm
Description The delta effect which will be removed from the curvature shocked scenario PL
Reference [MAR21.5]
Notation $WS_k$
Formula $$RW_k^{(curvature)} \cdot s_{ik}$$

This measure matches CSR sec CTP Delta Sensitivities for trades and risk factors having curvature risk charges.

See also