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FX Curvature Risk Position Down

sbm
Description The bucket level capital requirement under the downward scenario
Variations
Hierarchies required in the view
Reference [MAR21.5]
Notation Kb
Formula Kb=max(0,kbmax(CVRk,0)2+kblb,lkρklCVRkCVRlψ(CVRk,CVRl))

See also