CSR Sec non-CTP Curvature CVR Up

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 non-CTP Curvature CVR Up can be replicated with these measures: CSR sec non-CTP Curvature shock-up prices minus CSR sec non-CTP Curvature Delta Weighted Sensitivities.

See also