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Equity Curvature Risk Charge
Description |
The equity curvature risk charge based on the ‘Medium correlations’ scenario |
Variations |
|
Reference |
[MAR21.5] |
Notation |
CurvatureriskCurvaturerisk |
Formula |
Curvature risk=√max(0,∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc))Curvature risk=
⎷max⎛⎝0,∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc)⎞⎠ |
See also